<<<<<UPDATE>>>>>>
Hello @MS Techie ,
Just wanted to provide a new update on this post as we now have an Azure Marketplace managed application that implements a Cloud Based Virtual Switch which enables Multicast on Azure.
Please find the link to the application below:
https://azuremarketplace.microsoft.com/en-us/marketplace/apps/swxtchiollc1614108926893.cloudswxtch-vm-001?exp=ubp8&tab=Overview
Regards,
Gita