Not a lot of information is really provided in your post to help you troubleshoot.
Are you seeing traffic hit your firewall from your other posts? If not, I would look at your VLAN route table assigned in your VNet and verify that you have setup your routes properly for the firewall to be the next hop instead of the VMs exiting traffic directly.
If you are seeing the traffic hit your firewall, how do you have your NAT and routes setup on the firewall? Do you see the traffic hitting the proper NAT entry and leaving over the expected interface in the traffic logs?
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