Explanation
Graphical user interface, diagram Description automatically generated with medium confidence

Reference:
https://docs.microsoft.com/en-us/azure/virtual-wan/virtual-wan-about

Explanation
The parameter here should be RemoteAddr not Request header.
https://docs.microsoft.com/en-us/azure/web-application-firewall/ag/custom-waf-rules-overview#match-variable-

Reference:
https://docs.microsoft.com/en-us/azure/virtual-network/virtual-network-for-azure-services#services-that-can-be-deployed-into-a-virtual-network

See the Explanation below for step by step instructions
Explanation:
To create an Azure Firewall instance, you need to go to the Azure portal and select Create a resource. Type firewall in the search box and press Enter. Select Firewall and then select Create1.
To assign an IP address from the address range of 10.1.255.0/24 to the firewall, you need to select a public IP address that belongs to that range. You can either create a new public IP address or use an existing one1.
To use a new Premium firewall policy named FW-policy1, you need to select Premium as the Firewall tier and create a new policy with the name FW-policy12. A Premium firewall policy allows you to configure advanced features such as TLS Inspection, IDPS, URL Filtering, and Web Categories3.
To route traffic directly to the internet, you need to enable SNAT (Source Network Address Translation) for the firewall. SNAT allows the firewall to use its public IP address as the source address for outbound traffic4.