I just want to add that for HTTP/HTTPS Web Traffic, we usually see customers protect with WAF (Web Application Firewall). I don't claim expertise in all NVA vendors (there are many), but the WAF and the Firewall can be deployed separately (i.e. consider the F5 WAF and Fortinet FW).
In this architecture, you route the DNS resolved FQDNs to the Traffic Manager (CNAME record in DNS) and the TM has the profiles configured to support ACT/ACT, ACT/STB, ...etc.). Usually I have seen the Traffic Manager pointing to the Azure LB (public IPs front ends) with backend pools being WAF VMs (Marketplace NVAs). The WAF does the L7 inspection and FW functions and SSL offload (or not) and then it routes the traffic to the Azure service running your web apps.
If you want to use Azure Front Door instead of TM, then it has a built-in WAF and you don't need the WAF Marketplace appliance for that part. If you want to stay with TM, you can even use a Azure Application GW (has a WAF SKU) as the next hop (instead of the standard LB and it will perform your WAF functions and route traffic to the Web Tier (web apps).
I usually see the Firewall function come into play when traffic must route "east-west" among your tiers (Web to Front end, FE to BE). While NSGs can compliment this, customers usually use UDR routing to force all Inter-Subnet traffic through the Firewall, and this firewall can be an NVA appliance or the Azure FW.
There are many ways to do it, but this is one that seems to have alot of adoption.