The best recommendation for your suggested scenario is configuring the P2S VPN connection to send all traffic to Azure. Then, use UDRs on your application subnets to route that traffic through the Azure Firewall.
- Benefits of Virtual WAN for this Scenario:
- Simplified Routing: vWAN automates much of the complex routing that would be difficult or impossible with traditional VNets.
- Centralized Security: Azure Firewall Manager provides a centralized management plane for your security policies across multiple hubs and spokes.
- Scalability: vWAN is designed for large-scale deployments and offers high scalability for P2S connections.
- When setting up your P2S VPN configuration, make sure that you advertise the default route (0.0.0.0/0) to the VPN clients and if you use AD authentication, this is often handled by default or else if you use certificate or RADIUS authentication, you might need to explicitly configure the routes to be advertised. For IKEv2 and OpenVPN protocols, you can advertise 0.0.0.0/0.
- Deploy Azure Firewall in a dedicated subnet (AzureFirewallSubnet) within a hub VNet. Your P2S VPN Gateway would also reside in this hub VNet (GatewaySubnet) and if you have workloads in the same VNet or peered VNets, they will be considered spoke VNets.
- Create a Route Table add a route with the address prefix 0.0.0.0/0 and set the Next hop type to Virtual appliance. Set the Next hop address to the private IP address of your Azure Firewall and associate this Route Table with all the subnets where your P2S clients will be accessing resources and from which you want to filter outbound internet traffic. Make sure that please don't associate this route table with the GatewaySubnet or AzureFirewallSubnet. Please refer the document.
- Create appropriate Network rules and Application rules on your Azure Firewall to allow or deny traffic from the P2S client IP address pool to the internet or other network destinations.
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