Azure Firewall Premium is a more secure version with highly advanced security features just became available recently

Azure Firewall Premium Becomes Generally Available — Redmondmag.com

Azure Firewall – Cloud Network Security | Microsoft Azure

Azure Firewall Premium (Public Preview)

  • Built-in TLS Inspection for customer’s selected encrypted applications
  • Ability to detect and block malicious traffic through advanced IDPS engine
  • Restrict access to Web content via built-in URL Filtering for both plain text and encrypted traffic
  • Web Categories provide enhanced content filtering capabilities
  • IDPS signatures and Web categories are fully managed and constantly updated