Hi,
For Azure Firewall Basic tier Forced Tunneling mode is enabled by default, so your Virtual Network needs to have both AzureFirewallSubnet and AzureFirewallManagementSubnet. In your screenshot your VNet is missing AzureFirewallSubnet.
Try creating AzureFirewallSubnet in your virtual network and then start Create a firewall wizard again.
Please see below articles for more details on Forced Tunneling mode:
Azure Firewall forced tunneling
https://learn.microsoft.com/en-us/azure/firewall/forced-tunneling
Please click Accept Answer if the above was useful.
Thanks.
-TP