Hi @Xtech ,
which VM SKU did you use for the Ubuntu VM in Azure?
As far as I know only the DCsv2-series, the DCsv3 and DCdsv3-series (pubklic preview) are supporting SGX at the moment.
https://learn.microsoft.com/en-us/azure/virtual-machines/dcv2-series
https://learn.microsoft.com/en-us/azure/virtual-machines/dcv3-series
I don't know what is required in Ubuntu to support SGX, sorry.
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Regards
Andreas Baumgarten