Following the procedure outlined in documentation page Configure an Azure Connection, the application is created in Azure Active Directory.
The target application and account are created as well in Azure, but when trying to configure the connection to Azure in Configuration --> 3rd Party --> Azure, it throws the following error:
PAM-CMN-5360: Failed to get Azure API access token. unauthorized_client - <Client Name>: Application with identifier '<identifier>' was not found in the directory '<directory id>'. This can happen if the application has not been installed by the administrator of the tenant or consented to by any user in the tenant. You may have sent your authentication request to the wrong tenant. Trace ID: <trace id> Correlation ID: <correlation id> Timestamp: 2020-03-31 10:28:15Z