Azure VM ping and telnet not working

Any user in Azure AD (regardless if Office365 user or not) needs to change the password after Azure Domain Services have been activated to initiate password sync (see this link).

Thanks Jason for pointing into the correct direction.

Where to go from here to properly open ports mentioned above ? I need them to be open on the VM itself, inside it. So i can ping the ports, or at least know if they are open/closed from within a browser inside the VM.

To open the ports to the virtual machine in the Azure portal, you can create NSG rules to filter inbound or outbound traffic on a subnet or VM network interface. For example, I create an inbound rule to allow any source can access the port 7707 with UDP. You can attach the NSG to a subnet or VM interface. The subnet level NSG will take effect on every VM in the same subnet. You also need to open these ports in windows firewall locally on the VM.

I suppose you have enabled the port forwarding via the NAT rules of the Azure Load Balancer. The target port should match the ports you opened in your NSG.

To check these ports status, you can run netstat -anbo on your Azure VM command prompt as an administrator account. If the game is listening in that port, you also can access it via localhost, so the game is running. Then you can try to access it from outside of VM to verify these ports.