Entra ID Provisioning does not currently send a User-Agent header. Per the HTTP spec, it is recommended but not required. Our engineering team has a backlog item to add this, but due to the potential that suddenly changing to include a header could disrupt existing consumers of the provisioning service's SCIM requests, this will be released in the future as part in a manner that is opt-in.
At present, your options are to adjust the firewall rules to make an exception for the User-Agent header from the Entra ID Provisioning requests, or possibly look at using on-premises provisioning to pass the requests through an agent that runs on a server on your local network and only uses outbound connectivity, therefore bypassing the inbound firewall rules you mentioned.