Hello @VasilisK ,
Welcome to Microsoft Q&A Platform. Thank you for reaching out & hope you are doing well.
Earlier NSG was not supported on private endpoints but now it is supported and is in public preview.
Refer : https://azure.microsoft.com/en-us/updates/public-preview-of-private-link-network-security-group-support/
Private Endpoint support for Network Security Groups (NSGs) feature will provide you with the ability to enable advanced security controls on traffic destined to a private endpoint. In order to leverage this feature, you will need to set a specific subnet level property, called PrivateEndpointNetworkPolicies, to Enabled. In addition to toggling this property, you will need to also register for the Microsoft.Network/AllowPrivateEndpointNSG feature (note that registration time may take up to 15mins).
At this time, Private Link NSG Support is only available in the following regions:
UsEast2Euap, UsCentralEuap, WestCentralUS, WestUS, WestUS2, EastUS, EastUS2, Asiaeast, Australiaeast, Japaneast, Canadacentral, Europenorth, Koreacentral, Brazilsouth, Uksouth, US South, US North, France Central
Managing Private Endpoint Network Policies.
Managing network policies for private endpoints - Azure Private Link | Microsoft Learn
Registering for the feature:
CLI - az feature | Microsoft Learn
Command : az feature register --namespace Microsoft.Network --name AllowPrivateEndpointNSG
PowerShell - Register-AzProviderFeature (Az.Resources) | Microsoft Learn
Command : Register-AzProviderFeature -FeatureName AllowPrivateEndpointNSG -ProviderNamespace Microsoft.Network
After enabling PrivateEndpointNetworkPolicies and registering for Microsoft.Network/AllowPrivateEndpointNSG feature, you will be able to apply NSG on your private endpoints and it will work as applied.
Kindly let us know if the above helps or you need further assistance on this issue.
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