WebProxy for pooled Multiuser AVD Sessionhosts

Hi guys

we are about to start with building an AVD Multiuser pooled Hostpool with Windows 11.

For the users access the Internet we need to implement a Proxy Solution which sits in Azure.

We need to be able to be able to log and block/allow web traffic on a per user basis.

Azure Firewall or Global Secure Access Clients are not supported or have only logs per machine and not per user.

What kind of Proxy Solution are you using? I know that Microsoft doesn't recommend a Proxy but our Security team does require it.

Thanks for your advice

Best regards

Marc