I havent found anything internally where this was found to be a request or working.
I have to believe that ESM was not intended for Azure Gateways,
Does AMI or Azure offering include ESM?
And as such I suspect its not fully tested nor directly supported. Which doesnt mean it wont or cant work. But I dont think that there is explicit support for the Azure hosts. Also at least for migrations I believe GMU / Restman is the utility we prefer for simple migration.
Possibly Product Management can provide a more definitive answer.