That's not a TA. still answers my question for me though.
You need to install Splunk_TA_microsoft-cloudservices. Aka the Splunk add on for Microsoft cloud services.
This will let you pull the data from azure, I think it only works if it's installed on an azure instance though. Not sure if it will work from Splunk Cloud (AWS) to Azure... You should probably submit a ticket with Splunk Cloud Team.
