We are facing the same issues with using Front Door to use a custom domain for authentication for our web services through EntraID. Even worse, enabling geoblocking using WAF-policies caused Microsoft Defender to go completely nuts when using Front Door.
In our setup we use an extra tenant within our 'main' tenant to keep accounts from our customers separate from the accounts of the companies employees. To make use of the more professional looking 'custom domain', Front Door is required for having authentication work via our own domain names.
For security reasons, the accounts of employees managing the systems, are external B2B-accounts. This not only gives our company control over which employees get access to the EntraID for the products, it also makes sure the stricter security policies are enforced for the product administrators.
After a suspicious login we decided to enable WAF policies on Front Door to prevent access to our products/authentication from outside our target countries. Instead of increasing security and reducing the amount of logins coming from other countries, Front Door decided to randomly route the administrative B2B-logins via the other side of the world. All those 'malicious' IP-addresses were owned by Microsoft and according to Entra, located in places where, coincidentally, Azure data centers are.
These login source IP-addressed caused Microsoft Defender in our companies' own tenant to sent alert emails about hijacked sessions, coming from our own applications, to our IT Department. This was only happening "some times"; not all administrative users and not on all login attempts caused those alerts.
I've turned of the WAF-policies again, now Defender stopped notifying us about those malicious sessions coming from different parts of the world. I completely miss the logic here: Microsoft wants you to use Front Door to serve your own applications, especially when using EntraID for authentication. But doing so, one is basically barred from using any reasonable security metric to trace where those login attempts come from (as the answer is 'Azure'). Basically we need to implement our own tracing logic when a user is logging in. It seems that Microsoft is not seeing the security issues caused by this: to them it is more important to 'replace' the not verified original IP, than to provide any meaningful logging to increase security.