Why would you need to ping the gateway? The network is there, you have internet connectivity (all outbound, and predefined in the Endpoints section, inbound ports). Frankly, I haven't seen a single network administrator to allow pings (ICMP protocol) in a large-scale load-balanced environment.
I accept it as a security precaution and live with it.
I guess Paolo is just asking why we can't access via PING the default gateway wihch is configured on the VMs:
[myuser@myLinuxVM ~]# route
Kernel IP routing table
Destination Gateway Genmask Flags Metric Ref Use Iface
10.59.248.0 * 255.255.254.0 U 0 0 0 eth0
link-local * 255.255.0.0 U 1002 0 0 eth0
default 10.59.248.1 0.0.0.0 UG 0 0 0 eth0
[myuser@myLinuxVM ~]# ping 10.59.248.1
PING 10.59.248.1 (10.59.248.1) 56(84) bytes of data.
--- 10.59.248.1 ping statistics ---
13 packets transmitted, 0 received, 100% packet loss, time 12717ms
you are right. I am just testing Azure in the easiest way: isolated, single virtual machine and I didn't understand why with Window server it is allowed the ping of the gateway and with Linux not.
good to know (for future) that virtual networks are not allowed with Linux servers.