I opened the port on the firewall machine where the monitoring Agent was installed but the Agent still appears red in the controller.
What else should I do?
Since your application is deployed on the Microsoft Cloud Azure you should be able to run a load test from any controller that has internet access.
Now if you would also like to monitor from NeoLoad your Servers that are also installed on the Cloud Azure, you will have to install a remote monitoring Agent on that Cloud.
The controller will contact the remote Agent on port TCP 7200. So if you have any firewall between the controller and the monitoring agent you will have to open that port.
For machines hosted in the Cloud Azure, you have a configuration page from the Cloud Azure that will allow you to open some port and this prior to open them on the machine itself.
Here is a snap shot of that console.