Hi, Azure Security Center gives you Azure Defender for Servers which will provide a license for Microsoft Defender for Endpoint for your VMs (as an alternative to Sophos here). In addition Azure Defender includes a lot more security features (not just for the VMs) on top of this which are outlined here: https://learn.microsoft.com/en-us/azure/security-center/defender-for-servers-introduction
I'm not familiar with the Sophos product so you would have to compare its features to the Azure Defender features in the link above and decide for yourself. Maybe use both like you said.