Azure authentication redirection

We just set up a new f5 Big-IP WAF in Azure for the purpose of protecting an app service that we have deployed in our Dev environment. When we enter the FQDN that goes to the frontend of the BigIP (say abc.vanitydomain.com), our session passes through the big IP (so far, so good). We're then redirected to the Azure login site. Enter our credentials, and we're redirected to the site that we're trying to hide behind Big-IP (abc.azurewebsites.net).

Has anyone seen this before? Anyone who has set up a PAAS Azure app service behind the WAF have any advice on how to configure this?