As a minimum, an Azure-based Virtual Machine running Windows and SQL Server require the following configurations in place for a Foglight SQL Server and Infrastructure agents to be able to monitor the instance and machine.
Two Endpoints configured to use the same public and private port configured in the Azure management console.
In the Windows Firewall on the virtual machine
For OS monitoring, the Azure-based Windows virtual machine should be configured to use WinRM or WMI as per KB article 185163.
Additional firewall rules and endpoints may be required for the SSL WinRM connections or the use of WMI (see KB 85747).