Microsoft employee here - I don’t work specifically on the networking side of Azure but this is really good feedback that I’ll share with the product teams.
Disclaimer: I have worked for Azure in the past -not anymore- and specifically in Networking.
Do you have evidence that they've been saying they block ICMP because of security reasons that I can forward to the right folks? I can help getting this feedback to them to correct that, because I can guarantee 100% that's not the reason why ICMP is not forwarded by the SLB (and engineering/PM would never say it's for security reasons).