Azure AD can be used for Identity and Authentication (ie. when you login to Safeguard).
Azure AD accounts can be managed by Safeguard (in version 6.8 and above).
SPP can be used to manage Windows/Linux hosts on Azure (as long as the ports/requirements are accessible etc)
It's possible to deploy the SPP VM into Azure
More information is available in the Admin Guide under the "Cloud Deployment Considerations" section.