Try using APP SDK 2.8.1. I've had problems with version 2.9 not working on non-AMD x86 CPUs despite saying it works on any x86 processor, so maybe your Azure client is running on one of those. I've been able to run OpenCL code on the CPUs within VMs using 2.8.1, even if it wasn't an AMD CPU underneath.
Thank you, settle.
I make things right with APP SDK 2.8.1, specificly, we need install OpenCL-CPU.msi package from APP SDK 2.8.1 installation package.