The Azure network settings look correct. Did you open the Windows Firewall for port 80 and port 443 as well? By default that will be blocking, which would in turn cause the "Timeout during connect" error you are seeing.
Yeah you've gone off on a different path there, DNS validation is different (certbot can do DNS validation too). The app I develop (Certify The Web) has way more supported DNS providers than either of those though, anyway that's a digression.
The firewall rule you are looking at will be specific to a certain process, you need to create a broader one just for TCP port 80 and port 443 (inbound).