When configuring IP firewall rules for Azure Relay, it's important to ensure that all necessary IP addresses are whitelisted to avoid blocking legitimate services. Since you have already added your on-premises server's public network CIDR and enabled the option to allow Microsoft Trusted services to bypass the firewall, the blocking of the Azure public IP (20.92.128.xx) could be due to a service that is not included in the trusted list.
To determine which service is attempting to connect and being blocked, you can check the logs in Log Analytics for more detailed information about the connection attempts and the specific services involved. This will help identify if there are additional Azure services that need to be included in your firewall rules.
Regarding security implications, whitelisting broad ranges or specific Azure IP addresses can pose risks, as it may inadvertently allow unwanted access. It's advisable to limit the ranges as much as possible and regularly review the logs to monitor for any unauthorized access attempts.
This behavior of blocking connections from Azure IPs is expected if those IPs are not explicitly allowed in your firewall rules, even with the trusted services option enabled.
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