Per Microsoft, “Azure does not support any Layer-2 semantics.” Therefore, SonicOS Layer 2 functionality is disabled in NSv deployments in Azure. Consequently, NSv appliances operating in Azure do not support VLAN interfaces and DHCP Server functionality.
See https://docs.microsoft.com/en-us/azure/virtual-network/virtual-networks-faq and https://support.microsoft.com/en-us/help/2721672/microsoft-server-software-support-for-microsoft-azu re-virtual-machines for more information.
For information about supported features, refer to the SonicOS 6.5.4 NSv or SonicOS/X 7 NSv Series administration documentation. This and other documents for the SonicWall NSv Series are available by selecting NSv Series as the Product at: https://www.sonicwall.com/support/technical-documentation.