I found one answer which was for standalone virtual machines: "To make outgoing connections it is necessary to create a second Load Balancer with a public IP with the same backend pool and a dummy rule with a dummy probe. Once the rule is created then it will trigger the creation of an outbound SNAT."
However, it looks that this does not work with scale set. Is there any workaround for this? I have having to route traffic from Azure firewall to public load balancer.