Hi @Stephane Budo ,
Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
I understand that you would like to know if you can create an exception list on Azure Firewall to exclude specific websites.
When creating an Application Rule, you will have an option to enable or disable TLS inspection for that specific Rule.
While there is no such, "Exception List", you can create an Application Rule allowing all the excluded websites and disable TLS inspection.
For the rest of the rules, you can keep TLS inspection as enabled.
I hope this addresses your query.
Thanks,
Kapil
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