Hi,
Sorry for the late reply, I was chasing this down with the Finesse and CCX team.
It doesn't appear that Microsoft Azure is officially supported. You can see the supported Identity Providers here: https://www.cisco.com/c/en/us/td/docs/voice_ip_comm/cust_contact/contact_center/crs/express_compatibility/matrix/uccxcompat12_0_5_SU1.html#Supported_Single_Sign-On_Identity_Providers
But, per the design guide, "To support SSO for the contact center solution, you must install and configure an Identity Provider (IdP) that is compliant with the Security Assertion Markup Language 2.0 (SAML v2) Oasis standard." As long as the IdP has SAMLv2 support, it is allowed. It is just that Cisco does not provide any documentation on how to configure it and has not tested it.
Thanx,
Denise