CiviCRM on Azure Not Finding the Server
It looks like at the present time you will need to make a small hack to get the installer to be happy. The "does the server exist check" does NOT use the username/password and merely tries to connect as anonymous (https://github.com/civicrm/civicrm-core/blob/5.16.2/install/index.php#L1038). On azure this returns an error 9002, as opposed to the usual 1045 which gets skipped by the next line.

So you should be able to temporarily change that line to

$conn = $this-&gt;connect($server, 'username@com1group-mysqldbserver.mysql.database.azure.com', 'your password');

and then after install you can change it back. I don't have an azure database to test if that is sufficient, but just doing a command line test it returns the usual error 1045 so should work.