When setting up an Azure VM that will have mail functions, you may need to set up a rDNS record. The Azure portal at this time does not have that capability but you can set this up in with the Azure CLI or PowerShell.

Guide for creating Reverse DNS records:

https://docs.microsoft.com/en-us/azure/dns/dns-reverse-dns-for-azure-services
https://docs.microsoft.com/en-us/cli/azure/install-azure-cli?view=azure-cli-latest