Hi - the eval guide will be updated to 21H2 once it's available as a unified single ISO to simplify deployment - for the time being, it's advised to deploy as-is, and follow the upgrade steps that you've likely followed here: https://video2.skills-academy.com/en-us/azure-stack/hci/manage/preview-channel
That said, at least in my experience, nested VMs (those running on the nested AzSHCI nodes), should be able to communicate out correctly, however the impact of the double-nesting in Azure can have some unpredictable results.
I'm planning a significant upgrade to the eval guide that automates more of the setup process of the infra and AzSHCI nodes, so will test some VM network connectivity as and when i update the guide.
In the meantime, a colleague Michael has a slightly different guide to deploying an AzSHCI infra, with SDN, and I believe 21H2, which you may find helpful: https://github.com/mgodfre3/AzSHCI-AZNested
Thanks,
Matt