Could you elaborate what you did use for the Azure login? Did you use the SAML module? If yes, see the documentation here: https://docs.mendix.com/appstore/modules/saml
Look at the part for Use Custom Logic in User Provisioning. Do note that the identity provider needs to provide the data you want to use. So if Azure can provide a user role list you can retrieve those values in your microflow.
If you are not using the SAML module edit your post and provide us with more info about your setup.