It's an ICMP traffic restriction that you can ping within a VNet but can't ping outside of Azure if you have an Azure VM without a public Ip address. To test connectivity, instead, recommend that you do a port ping. While Ping.exe uses ICMP, other tools such as PsPing, Nmap, or Telnet allow you to test connectivity to a specific TCP port. Read more details here.
I test it even I remove the windows firewall or NSG about this Azure VM.

Although you can not ping outside, you can still search it online like www.google.com
. From this FAQ, Actually, All services deployed within a VNet can connect outbound to the internet. To learn more about outbound internet connections in Azure, see Outbound connections.