The Microsoft Azure Connector is relatively similar to the Microsoft 365 Connector since it is the Azure AD that is the directory on which Microsoft 365 is based. It has all the import, creation, modification, etc. features.
It is rare to use the Azure connector, as most companies use the email or license hosting part instead, which is managed more synthetically on Microsoft 365.
The Azure Connector connects to the Microsoft Azure graph APIs to perform key operations.
When setting up the connector, you will only need to accept the validation of the consent screen on your Azure tenant.