This is expected, as the Microsoft.AspNet.SignalR.Client
can only connect to traditional SignalR hubs built upon ASP.NET 4.x. However, Azure SignalR Service is built upon ASP.NET Core SignalR and not compatible with the old client library.
To subscribe to hubs on Azure SignalR Service, you need to use the new library, https://www.nuget.org/packages/Microsoft.AspNetCore.SignalR.Client