Collector Server on Azure VM

Are you monitoring Azure in LogicMonitor using LMCloud? Meaning LM is automatically adding your VMs to the system and the collector is for OS-level monitoring using Collector Assignment? If so, you likely want to verify it's set to monitor via Private IP and not public IP. You may want to also verify that LM is choosing the correct IP address in the system.azure.privateIpAddress LM property.

I would also remote into the collector server itself and try to connect to the servers you are attempting to monitor. Can you ping it using it's private IP or RDP/SSH to them, for example?

You may want to also use some of the Azure network tools to verify network connectivity and the peering. Like Connection Monitor/Troubleshooter, NSG diag, and IP Flow Verify.