ICMP protocol is not permitted through the Azure load balancer (inbound or outbound) which means that you can't do a simple ping to your VM. There is a : user voice request for this to be enabled here.
This blog here describes how you can use a port ping as an alternative.
There is some documentation on how to set up an Instance Level IP, which would circumnavigate the load balancer and give direct communication to the Virtual Machine, but I haven't tried this approach (I'm giving it a go right now, will report back)
