Azure attributes are implemented as a unstored virtual attribute. They query Azure values in real time, but require the Azure object ID in order to do so. Since the Azure object ID of a User object is not a part of the provisioning request, Provisioning Policies cannot set any values to Azure attributes.
This behavior is expected and unavoidable, but what is shown in Change History is misleading.
This issue has been identified as a product defect and is being tracked as Defect ID: 91867
Waiting for fix in a future release of Active Roles.