According to the tutorial written on the sonarcloud blog (https://blog.sonarsource.com/integrate-sonarcloud-with-vsts-to-boost-code-quality) and the Azure DevOps lab (https://www.azuredevopslabs.com/labs/vstsextend/sonarcloud/) I should be able to use the outcome of the analysis as a qualitygate for my pullrequest. Unfortunatly this option does not appear when adding a new status policy.
The code has been analysed in the build and in the buildsummary you can see the outcome from sonarcloud.
The last thing I need to do is add it as an approval pull-request requirement.
If anyone else is having this issue, I found the solution after some research.
Solution: To be able to select 'SonarQube/quality gate' on the branch policy, you need to run at least once the pipeline that checks your code through a PR.
In other words, add the check pipeline as part of the build validation to your PR policy, create a random PR and let it run. After that you will be able to select it in status check.
Credits to Mickaël Caro on this thread: https://community.sonarsource.com/t/azure-devops-pull-request-quality-gate-status-check/33957/14