I would like to use my own device as my Internet Gateway. This allows me to bring a series of in-line services in to use that I can't otherwise. Basically, I need to be able to forward VLAN traffic through my edge virtual machine.
To demonstrate, I created a private VLAN with the cloud service public IP as the public IP of my edge machine (meaning its endpoints have traffic rules allowing traffic). It then also has a private IP in the VLAN.
My cloud hosts were configured to have no endpoint ports allowed, allowing them to converse on the VLAN, but not be reached from the Internet side.
I changed my cloud hosts routing tables to have the Azure VLAN gateway (let's say my VLAN is 172.16.10.0/24) provide access to the VLAN, but also created a route to 0.0.0.0/0 with my edge virtual machine's LAN ip as the gateway.
My cloud hosts - can still reach the Internet - but the traffic is NOT going though my edge VM. The traffic is not doing what the routing table tells it to - which tells me something in Azure is re-directing the traffic.