See - Azure-vpn-config-samples/tree/master/Juniper/Current/SSG
or the attachment.
It's working for SSG-140 ScreenOS 6.3R21.
Don't be worry about these messages, it works either:
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE a.b.c.d Phase 2: No policy exists for the proxy ID received: local ID (172.18.0.0/255.255.0.0, 0, 0) remote ID (192.168.16.0/255.255.255.0, 0, 0). (2016-04-11 13:31:19)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d: Received a notification message for 16388 NOTIFY_MSG_NAT_DETECTION_SOURCE_IP. (2016-04-11 13:31:25)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d: Received a notification message for 16389 NOTIFY_MSG_NAT_DETECTION_DESTINATION_IP. (2016-04-11 13:31:25)
#################################################################
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-notification-00017: VPN "MicrosoftAzure" has been bound to tunnel interface NULL. (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-notification-00017: VPN MicrosoftAzure with gateway MicrosoftAzure and P2 proposal compatible has been deleted by admin root via NSRP Peer . (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-notification-00017: Gateway MicrosoftAzure at a.b.c.d in IKE V2 with ID [default peer id] has been deleted by admin root via NSRP Peer . (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-notification-00017: Gateway MicrosoftAzure at a.b.c.d in IKE V2 with ID [default peer id] has been added by admin root via NSRP Peer . (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-notification-00017: VPN MicrosoftAzure with gateway MicrosoftAzure and P2 proposal compatible has been added by admin root via NSRP Peer . (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-notification-00017: VPN "MicrosoftAzure" has been bound to tunnel interface tunnel.2. (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE a.b.c.d Phase 2: No policy exists for the proxy ID received: local ID (172.18.0.0/255.255.0.0, 0, 0) remote ID (192.168.16.0/255.255.255.0, 0, 0). (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-notification-00017: The DF-BIT for VPN MicrosoftAzure has been set to copy. (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKEe.f.g.h a.b.c.d IKESA: Initiated negotiations. (2016-04-11 13:31:19)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d: Received a notification message for 16388 NOTIFY_MSG_NAT_DETECTION_SOURCE_IP. (2016-04-11 13:31:20)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d: Received a notification message for 16389 NOTIFY_MSG_NAT_DETECTION_DESTINATION_IP. (2016-04-11 13:31:20)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE a.b.c.d CHILD SA with IKE SA INIT: Initiated negotiations. (2016-04-11 13:31:20)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d: Received a notification message for 12345 Private Use - Errors. (2016-04-11 13:31:20)
Nov 4 12:31:09 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d:negotiating IKE SA AUTH packet in status IKEV2_STATE_AUTH_I has failed with IKEV2_E_NOTIFY_UNKNOWN_ERR_CODE. (2016-04-11 13:31:20)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE a.b.c.d IKESA: Responder starts negotiations. (2016-04-11 13:31:25)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d: Received a notification message for 16388 NOTIFY_MSG_NAT_DETECTION_SOURCE_IP. (2016-04-11 13:31:25)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE V2 a.b.c.d: Received a notification message for 16389 NOTIFY_MSG_NAT_DETECTION_DESTINATION_IP. (2016-04-11 13:31:25)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE a.b.c.d CHILD SA with IKE SA INIT: Initiated negotiations. (2016-04-11 13:31:25)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE a.b.c.d IKESA : Completed IKESA negotiations with IKE SA AUTH. (2016-04-11 13:31:25)
Nov 4 12:31:15 aaaaaaaa: NetScreen device_id=aaaaaaaa [Root]system-information-00536: IKE a.b.c.d child sa with IKE SA AUTH: Completed negotiations with SPI 05d30760, tunnel ID 159, and lifetime 3600 seconds/0 KB. (2016-04-11 13:31:25)