There are 2 options here when you want to service multiple ips on a load balancer:
1) add additional ips to the firewall interface from within the azure portal AND you will have to switch to static on the firewall and manually add the first + additional ips that you want to service (they'll match the ips on the azure portal). dhcp only picks up the first address from the azure side in my experience (this may have changed so please double check).
#1 isn't the best option for ease of management
2) on the load balancer, enable floating ip on the rule and you will see the ip requested by the user come through to the firewall (even when having multiple front-side ips on the load balancer). you can then create corresponding nat and security rules based on that. using this method you can stay with dhcp on the firewall and do not need to add additional virtual ips from the azure portal side, nor on the firewall itself.
#2 is the better way to go.
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