Instead use Azure Network Watcher IP Flow Verify, which allows you to detect traffic filtering issues at a VM level.
Note: IP flow verify checks if a packet is allowed or denied to or from a virtual machine. The information consists of direction, protocol, local IP, remote IP, local port, and remote port. If the packet is denied by a security group, the name of the rule that denied the packet is returned.
While any source or destination IP can be chosen, IP flow verify helps administrators quickly diagnose connectivity issues from or to the internet and from or to the on-premises environment.
Reference:
https://docs.microsoft.com/en-us/azure/network-watcher/network-watcher-ip-flow-verify-overview