ADO.NET ports are not being checked

We had a connection timeout problem on our Azure VM trying to connect to Azure SQL.
We allowed default 1433 port for communication,  but that was not enough - https://learn.microsoft.com/th-th/azure/azure-sql/database/adonet-v12-develop-direct-route-ports?view=azuresql

This tool doesn't check anyhow that ports 11000-11999 are blocked for outbound traffic. 