Azure supports it in the fact, you can enter a plus address:
https://itinsights.org/AzureAD-Admin-Notification-and-Mail-Forwarding/
However the importance piece is what your mail server is.
If the messages are set to a plus address and the mail system supports it, then you can use it ( Exchange Online, Google etc..)
If however you are sending mail using a plus address to an on-prem Exchange mail server, it wont work.