I should because i did create a Network Security Group, and everything is forwarded under the NSG....Well, Did you do it correctly on the Azure portal assuming that you didn't because if im not mistaken Azure VPS are cloud and it is just like using a Ionos Cloud VPS / Google VM.
Try This:You must be registered for see links
their must be something you are missing, or just didn't do.I should because i did create a Network Security Group, and everything is forwarded under the NSG....