Multicast is not just for beacons and app servers in a cluster, but even for communication between app and bg in a single server system.
I wasn't aware of this with Azure, but it looks like it's a no-go for the time being.
Multicast is something that has to be supported at the network level in order for it to work.
PPM will either need to switch from using jgroups over multicast to something else, or undergo a change of the jgroups configuration and implementation to use a different (e.g. unicast) mechanism. These are things that require an engineering change to be supported and should be raised as an Idea that perhaps just targets the Azure requirement, listing the multicast limitation as one of the known obstacles.