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There are several missing gateways from the script, which means it will always fail for those regions.
Ref. https://docs.microsoft.com/en-us/azure/sql-database/sql-database-connectivity-architecture#azure-sql-database-gateway-ip-addresses

So be aware of that if you try to use the script and it fails.

We had a connection timeout problem on our Azure VM trying to connect to Azure SQL.
We allowed default 1433 port for communication, but that was not enough - https://learn.microsoft.com/th-th/azure/azure-sql/database/adonet-v12-develop-direct-route-ports?view=azuresql

This tool doesn't check anyhow that ports 11000-11999 are blocked for outbound traffic.

The authentication endpoints for AAD in US Gov (FF) changed a while back - I believe that for all 3 methods coded here, the endpoint is login.microsoftonline.us instead of {'login.windows.net','login.microsoftonline.com','secure.aadcdn.microsoftonline-p.com'} - around line 1500 of AzureSQLConnectivityChecker.ps1 - I'm not sure about for BF and MC. So while this does support gateway and cluster for a us gov database, I'm not sure the endpoint tests are appropriate.

Gateway 23.99.160.139 for Central US is already decommissioned as far as I know https://azure.microsoft.com/ru-ru/updates/azure-sql-database-gateways-changes-centralus-september-15-2020/

When the script is invoked the following error is thrown at the end of the execution,

 Advanced connectivity policy tests script could not be downloaded!
 Confirm this machine can access https://github.com/Azure/SQL-Connectivity-Checker/
 or use a machine with Internet access to see how to run this from machines without Internet. See how at https://github.com/Azure/SQL-Connectivity-Checker/

It seems like the script URL for the Advanced connectivity policy tests script defined with HTTP instead of HTTPS protocol.