Standard Azure instruction says:
To collect end-user usage analytics about your application, insert the following script into each page you want to track. Place this code immediately before the closing tag, and before any other scripts. Your first data will appear automatically in just a few seconds.The trouble with this is you may need to modify many web pages and then do the live deployment before any data will be collected, and then if you are not happy with something, repeat the cycle over again. It's time consuming and counter productive. What's the solution then?
In general GTM works out of the box with no or little troubleshooting required but some scripts may not work with it. Many script providers usually state their known compatibility level with GTM. Unfortunately Azure does not say in their documentation anything about GTM. Regardless, first it's worth a try, and secondly, it does work.