>>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.

There is an overview of Azure security at https://docs.microsoft.com/en-us/azure/best-practices-network-security . In that document, starting at the picture of the concentric ovals the various layers of available security are outlined.

The Cisco virtual appliance is an option for just one of those layers, the one closest to your deployment ("Network Virtual Appliances" [NVA]). I still can't find any Microsoft/Azure NVA for that layer so I can't comment on how they may compare.

Unless you can be more specific, I'd think comparing the ASAv to the Azure full stack would be an invalid comparison (apples & oranges).

Update: the Azure Marketplace currently lists 15 network/security virtual appliances, I don't see any by Microsoft: https://azuremarketplace.microsoft.com/en-us/marketplace/apps/category/networking?page=1&subcategories=appliances