Thank you for getting back.
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to accept the answer.
Issue:
When I send traffic to the firewall, my host cannot reach any PowerApps
Solution:
I have resolved this issue. I had two rules within the Rule Collection Group with a priority of 950. There were two rules in that collection with a priority of 900. I suspect that one of the rules was matching instead of the one I wanted to match.
Instead, I created a whole Rule Collection Group at priority of 850 and put the rule matching all of the power apps FQDNs into that thus forcing a match with the 850 priorities before a match in the 900 priorities.
I have to say that the way the Azure Firewall Policy rules processing was designed is way too over complicated and confusing. Priorities within priorities within automatic and overriding parent processing with automatic DNAT, NETWORK, APPLICATION processing to figure out what is allowed or denied is a total confusing mess. And as far as I understand, there is no debugger to allow me to provide a URL to the policy and have it report back to me the exact flow of processing it takes to make a decision along with what the decision is. This is a poorly designed product.
Please Don't forget to 'Upvote' and 'Accept answer' so that others experiencing the same thing can easily reference this.
Your contribution is highly appreciated.
Best Regards,
Sai Prasanna.