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I will be installing Windows Server Protection in some Azure VM's, what ports do i need to open to allow proper communication to the Sophos Cloud Management Console and to get updates?
You will need to open ports 80 and 443 to allow communication to Sophos Central Admin.
For updates, it uses port 443 if you are a new Central customer. If you have an existing account, it will use port 80.
To add to Karlos' response; we have KBAs for both;
Server Protection in Azure - https://community.sophos.com/kb/en-us/126215
Domains and Ports used by the Sophos Central agent - https://community.sophos.com/kb/en-us/121936