@shiji ,
Ping uses ICMP and make sure you allow ICMP in below places:
- Azure Firewall should allow ICMP (You mentioned it is allowed )
- Destination VM should allow ICMP (By default it does for VNET peering traffic)
- Guest OS should allow ICMP. I mean Windows Firewall (Most probable reason for the ICMP failure.)
Also If you want to test connectivity do not use ICMP in Azure. Its good to use tools like psping where you can do TCP based connectivity tests.
Regards,
Karthik Srinivas