@Vadym Urupa - Thanks for the question and using MS Q&A platform.
Unfortunately, you are not allowed to configure or create static IP in the managed resource group because the managed resource group is locked.
To resolve this issue, there are couple of options to restricts access to a port in the NSG rules.
Option1: Deploy Azure Databricks in your Azure Virtual Network (VNet injection).
Option2: Please do raise a support request, so that backend team helps to remove System deny assignment for your managed resource group.
Hope this helps. Do let us know if you any further queries.
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