Hi @Henrique C ,
hmmmm. You created a Network Security Group (classic)
which is not working together with the VMs/subnets created with ARM.
This explains the issue.
Please choose the Network Security Group
in the Portal, create a new one and try again.
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(If the reply was helpful please don't forget to upvote and/or accept as answer, thank you)
Regards
Andreas Baumgarten