Azure Route Precedence

What takes precedence

UDR (next hop: Virtual appliance/Internet/Virtual network gateway) – highest
BGP (from VNET GW)
System
Outbound SNAT via Standard LB happens only when the route decision says “Internet”.
NAT Gateway, if attached to the subnet, overrides Standard LB outbound completely.

So for GWLB egress to work

Do not add 0.0.0.0/0 route in UDR.
Ensure no NAT Gateway is associated.
Let default be System/UDR to Internet, then the SLB outbound rule will SNAT via its PIP (which is chained to GWLB).