Unity is not using .Net but mono and also not the latest version. The Azure library is trying to access HttpClientHandler.MaxConnectionsPerServer, which hasn’t been implemented in older version of mono.
Unity is working on upgrading mono and mono has been moving towards using the same class libraries as .Net, which will reduce issues like this in the future. You can check the status of this in Unity Future .NET Development Status , the gist is that it might drop in 2021.2 but likely later.
But for now, the Azure SDK likely won’t easily work in Unity. You could try to create a custom build of the SDK that removes the call but there could be other incompatibilities besides this one. You could try searching for a different Azure library that works in Unity (the ones I’ve found seem to be old and abandoned) or implement the REST API directly in Unity.
Ultimately, as Unity notes in the Overview of .NET in Unity documentation:
i.e. if a library doesn’t explicitly support Unity, you should expect compatibility issues when you try to use it in Unity.