Supported IP Protocols for Azure Cloud Services
As of today, June 2015, the supported IP protocols for Azure cloud services are TCP (protocol number 6) and UDP (protocol number 17) only. All TCP and UDP ports are supported. This applies to both cloud service VIPs as well as instance level public IPs. Additional IP protocols may work in some scenarios (for example ICMP), but there is no support for them or guarantee that they will continue to work in the future or in all deployment scenarios.
Customers are encouraged to use Network Security Groups and/or guest operating system firewalls when using instance level public IPs to ensure only desired traffic is allowed to reach the VM.