best response confirmed by ReverseKram (New Contributor)
Solution

@ReverseKram 

You can read about the integration in here

https://docs.microsoft.com/en-us/azure-advanced-threat-protection/integrate-wd-atp

(It will be changed to MDATP)

Currently, Azure ATP doesn't integrate with 3rd party EDR solution

Regarding running both EDR & AATP on the same client (Domain controller for example), as long as the EDR doesn't employ a packet capturing technology that overlaps what AATP is using, theoretically there shouldn't be an issue but it's best to check first.