I can confirm this is indeed an ISV problem from Free-Telecom (www.free.fr ILIAD group) .
My friend has no FW and have the same problem.
ICMP connectivity is ok but standard 3389 port is blocked by free gateway.
I did solved this problem changing RPP port on the VM.... I can also say that Bastion is a solution for accessing your VM from Free-Telecom on azure, but more expensive.