I would also check with your Azure admins to see if they may have added any firewall rules that could have blocked the data. It seems that there is one command from the document to check for this:
sudo wget -O cef_troubleshoot.py https://raw.githubusercontent.com/Azure/Azure-Sentinel/master/DataConnectors/CEF/cef_troubleshoot.py... python cef_troubleshoot.py [WorkspaceID]
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