We had PAN Proffessional Services help us with our Azure deployment and they recommended going with individual firewalls and use Azure for load balancing between them. We went in expecting to run actuve/passive HA, but implemented their recommendation and it has been running great since it was installed. Unfortunately, I cannot give you the details behind why the recommendation to not use HA, other that two different PAN Engineers telling us that HA and Azure just don't work well together.
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