>Are you talking about virtualized security appliances for use on Azure? Cisco seems to be offering its ASA as a virtual appliance: http://www.cisco.com/c/dam/en/us/products/collateral/security/adaptive-security-virtual-appliance-asav/at-a-glance-c45-733426.pdf

Yes, that would be that.

>I couldn't find any similar appliance created by Microsoft - do you have a link?

From the discussion, it has been confirmed the Firewall related security level is an Azure infrastructure on its own.