I tried to create a WAF for our Sydney ALB and found it is not available so I have to create cloudfront to be able to use WAF. Am I right?
Yes in the Syndey Region you'll need to create Cloudfront distribution.
AWS WAF for CloudFront is available for all regions. AWS WAF for use with an Application Load Balancer is available for the following regions:
US East (N. Virginia) US West (N. California) US West (Oregon) EU (Ireland) Asia Pacific (Tokyo)
Yes, you'll need to create a CloudFront Distribution.
From Product Details
"With AWS WAF you first identify the resource (either an Amazon CloudFront distribution or an Application Load Balancer) that you need to protect"
- In what Regions is AWS WAF on ALB available in? US East (Northern Virginia), US West (North California), US West (Oregon), Asia Pacific (Tokyo) and EU (Ireland)