Hi Tom,
Azure Firewall and Network Security Group(s) are two independent things, so in effect they have equal priority if traffic will be flowing through both. They both must allow traffic in order for it to get through, again assuming traffic needs to flow through both to reach the destination.
In your example, the RDP traffic (if coming via Internet through FW) will be blocked, since you have a rule blocking RDP in the NSG. If you walk through the path the traffic takes you can see how it makes sense.
Let's assume traffic is coming in from the Internet, via Azure Firewall's public IP. When the inbound connection reaches Azure Firewall, it is allowed, since there is a rule allowing it. Next it reaches the NSG, where there is a rule blocking it, so it stops right there, without reaching the VM.
On a related note, there could be multiple NSGs along the path the traffic must take, plus you have Windows Firewall with Advanced Security (wf.msc) inside of the VM. So assuming the traffic is coming in via Azure Firewall, it would need to be allowed by Azure Firewall, allowed by NSG on the subnet (if any exists), allowed by NSG on the VM interface (if any exist), and allowed by Windows Firewall inside of the VM.
Please click Accept Answer if the above was useful.
Thanks.
-TP