To be honest, in my opinion it really makes sense to use the Azure Firewall on top of the Azure Network Security Groups. It is easy to set up, provides central administration, and requires almost no maintenance. It provides security between virtual machines, virtual networks, and even different Azure subscriptions.
There is an additional cost if you want to use this firewall.
The choice between the Azure service and Linux Firewall depends on many things:
- Cost
- Deployment and orchestration of your virtual machines and applications
- Different roles: is there one administrator for everything?
I hope that after covering one of the Linux firewall implementations, it becomes clear that the Linux firewall is in no way a complete replacement for the Azure Firewall, it only can provide security for incoming traffic to the virtual machine, and yes, it is possible to configure...