Status:Currently in v8.1.5, new ARS policies cannot scope Azure Distribution Group objects, a new Enhancement Request #458463 has been raised to include this functionality in a future version of Active roles.
Workaround:Add a Generation and Validation policy within the existing "Built-in Policy - Azure Cloudonly - Default Rules to Generate Properties":

With this approach, it will ignore what is selected in the WI and will set the EXO Distribution Group SMTP address with the one set as default in the builtin policy.