Best I have for starters is the Help on the Rest Connector, so you can be sure everything required is in place etc. If you find something not working as documented in the Help, then I would suggest opening a Support case at that point pointing out what is not working per the documentation, so we can take a closer look at things. This is about the best I can do with what you have provided, really need a lot more detail on things in order for folks to be able to try to help further.
The other thing that may be in play here is an issue with the connection into Azure not allowing something as well, so that is the other avenue I would likely go down on this one.
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