I have a Splunk instances in SplunkCloud. I setup the Add-on for Microsoft Cloud Services and followed the instructions to a T. No information is flowing in. Does this add on need a forwarding server? All the information I'm finding sounds like one needs to be set up.
If this is the case, are there any plans for direct connection to Azure Cloud?
Yes, http://docs.splunk.com/Documentation/AddOns/released/MSCloudServices/Install says that this add-on requires a heavy forwarder for data collection.
Connect that heavy forwarder to your Splunk Cloud environment by installing the Splunk Universal Forwarder Credentials package on it. Despite the name of the package, it is needed for forwarders of any type that need to send data to Splunk Cloud.