Hello @Nick ,
Welcome to Microsoft Q&A and thank you for posting your questions here.
For more clarity, you were asking the recommended security package for Azure Servers, and you already using Sophos on your on-premises servers.
Sophos is good with all of its features for on-premises servers and enterprise network solutions, and I have recommended for many enterprises.
For Microsoft Azure Servers, there is no single recommended security package for Azure Servers, as different scenarios may require different security solutions.
Microsoft Defender for Cloud is the first line of defense for your resources in Azure. It periodically analyzes the security state of your Azure resources to identify potential security vulnerabilities. It then recommends how to address the vulnerabilities.
However, Azure provides a variety of security features and capabilities that can help you protect your servers from various threats and vulnerabilities. Some of these features are:
Azure Disk Encryption
Azure Security Center
Find recommendations that can improve your security posture on Azure from this links:
Also, you can read more about Azure Security:
I hope this is helpful! Do not hesitate to let me know if you have any other questions.
Please remember to "Accept Answer" if answer helped, so that others in the community facing similar issues can easily find the solution.