To allow these domain names, you are required to add them to the Application Rules in the firewall.
As documented for Azure Portal authentication safelisting:
login.microsoftonline.com
*.aadcdn.msftauth.net
*.aadcdn.msftauthimages.net
*.aadcdn.msauthimages.net
*.logincdn.msftauth.net
login.live.com
*.msauth.net
*.aadcdn.microsoftonline-p.com
*.microsoftonline-p.com
See also: https://learn.microsoft.com/en-us/azure/firewall/policy-rule-sets
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