Hi Tester,
The Azure Activity data connector uses Azure Policies to configure and pipe subscription level events into Sentinel. If you navigate into the Azure Activity data connector it will provide you the instructions for configuring the Azure Policy. After configuring the policies, it can sometimes take a bit of time to show as connected (As the Azure Policy needs to propagate).
I would also double check that the policy has Remediation enabled, you can check this by locating the policy and checking the Remediation tab, make sure that 'Create a remediation task' is selected.