You can't run the docker daemon in Azure Cloud Shell. Cloud Shell uses a container to host your shell environment, as a result running the daemon is disallowed
Resolution: Utilize docker-machine, which is installed by default, to manage docker containers from a remote Docker host.
Remember that you are not a root user when running a command in cloudshell. So, it is expected to popup an error while you try to install some applications which need to access the folders like /usr/local/bin
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