Sometimes it is the little things that makes you happy!
Somehow I missed the recent news on new NSG rule functionality. Nowadays it is possible to create NSG rules and select ICMP as separate protocol. This may seem a small thing, however it is actually great news.
When locking down your Azure Virtual Networks, it is recommended to start with a “Deny, any, any, any” rule and build up from there. However because previously you could not select ICMP as a seperate protocol, ICMP traffic such as ping was not working anymore after locking down.
With the option to select ICMP seperately as protocol, this problem has been solved now!
A few days ago on azure.feedback.com the status was changed to started, however it is already available in the NSG rules. Documentation was updated 10 days ago.