Hi
If you want to redirect the traffic to Azure Firewall make sur you select the outbound type user-defined routing
https://learn.microsoft.com/en-us/azure/aks/egress-outboundtype?WT.mc_id=AZ-MVP-5004274
This article will help you to make the right choices and has a ready to test example (video +script)
If you want to avoid potential asymmetric routing issue that could happen if you have public load balancer scenario check the link below
https://learn.microsoft.com/en-us/azure/firewall/integrate-lb?WT.mc_id=AZ-MVP-5004274