Hi Mario,
Great question!
We work really hard to ensure The Events Calendar (and, by extension, Events Calendar PRO and our other premium plugins) adhere to WordPress standards and requirements – and so they should work anywhere that WordPress itself can be used.
That said, the overwhelming majority of our users host their sites on a classic LAMP (Linux) stack so our experience and ability to support sites hosted on other platforms, including Azure, is understandably a little more limited.
You should be able to do this without any major difficulties, though, and what I’d recommend is giving The Events Calendar (our core plugin, which is freely available) a whirl – test things out with this plugin and then, if you find it runs smoothly but need more advanced functionality, you can purchase and install any of our premium plugins.
Does that help?