@Ori Gil Thank you for reaching out to Microsoft Q&A.
I understand that the WAF Custom rule is not working for you. In the meanwhile, have you tried adding a rule using Powershell and see if that works?
Here is an example rule added via Powershell for Geo-match:
$variable = New-AzApplicationGatewayFirewallMatchVariable -VariableName RemoteAddr
$condition = New-AzApplicationGatewayFirewallCondition -MatchVariable $variable
-Operator GeoMatch -MatchValue "US"
-Transform Lowercase `
-NegationCondition $False
$rule = New-AzApplicationGatewayFirewallCustomRule -Name "allowUS"
-Priority 2 -RuleType MatchRule
-MatchCondition $condition `
-Action Allow
Please let me know, Thank you!