An Azure network security service that is used to protect Azure Virtual Network resources.
If the traffic originates from an external source (from the internet) and is destined for a virtual machine (VM) inside an Azure Virtual Network, the Azure Firewall rules will be evaluated first. If you have a rule in Azure Firewall to allow RDP, that rule will be applied and the RDP traffic will be allowed.
If the traffic is already inside the Azure Virtual Network (e.g., between VMs in the same subnet), the NSG rules will be evaluated first. If you have a rule in the NSG to block RDP, that rule will be applied and the RDP traffic will be blocked.