I have installed data dog agent on one of my virtual machines When I have altered my NSG so that all "Outbound-connections" are denied, I am still able to see "CPU metric" getting updated on Data dog dashboard. I would like to know where this information is going from Azure to Datadog.
Datadog, like OMS and other monitoring software uses the Azure VM agent to steam the information. Once this agent is installed on the system we are able to gather the info needed.
The VM agent is not something that goes out over the internet like other connections. Hence, you should still see the reporting available. Rather, it should be a direct connection from the Hyper-V manager and the VM itself. This therefore, bypassing any NSG rules you would have in place.