@DenverDTS , I have done a repro of this setup in my lab. All you need to do is,
Step 1:
Ignore the warning and save the configuration.
Step 2:
Now, to allow AzureLoadBalancer to VirtualNetwork or to Allow VirtualNetwork to VirtualNetwork you need to create an inbound rule as mentioned below,
The Virtual Network tag includes the Virtual IP of the host, an allow effectively grants access for AzureLoadBalancer probes.
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