Hello @Alejandro Brozzo , Azure App Service/Azure Function runs in a secure environment called a sandbox which imposes certain limitation. Limitations like playing around some com components , writing to registry , User32/GDI32 restrictions. The sandbox is described here.
I am afraid you won't be able to access the console and install any 3rd party libraries which run via a script, ex: EXE or MSI. So you don't have to explicitly load/install anything.
So if you have anything related to any of these Sandbox restriction then going for Azure VM ( you can manage the OS and the installed libraries yourself ) will make more sense.
Just for your reference, you may refer to this to check which package is installed for your app service. [ Note : as this document is old you may not see the latest VS example but it would guide you to check the version details of the library]
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