Powershell – What’s the difference between Get-AzureRmVM and Get-AzureVM

There is no setting for this in ARM yet, even in powershell

NSG's could, I suppose have been implemented as part of the vNet, but actually the current approach provides more flexibility, especially if you are using templates to deploy.

vNets are your containers that provide communication between between VM's and a boundary between your environment and the outside world. Inside vNets you will create subnets to organise your network as you like and configure routing rule to define how traffic flows (if you don't like the defaults). vNets also provide the functionality to hook into things like VPN's and Express route.

NSG's are your firewalls that determine what traffic is allowed through. The important thing to note is that NSG's can be applied to individual machines, or to subnets. This distinction means you can apply an NSG to subnet and it can control what traffic is allowed in both from teh outside world, but also from other subnets on your network. Alternatively you can define it at the VM/NIC level and lock things down just for that VM.