Azure discovery is a new feature introduced in SQL Diagnostic Manager 11. This feature recognizes all the Servers related to your Azure Profile credentials, which allows you to easily add those Servers to SQL Diagnostic Manager.
You can use this feature by adding a new server to SQL Diagnostic Manager. When you add an instance with your Azure Profile remember to check the Enable Azure Discovery Settings checkbox in the Add Server Wizard window.
The result of your research should be all the servers related to your Azure Profile.
Note
Remember to use the same Azure profile used for Custom Counters.