Hello,
Azure MQTT on our routers is made to work with Azure IoT Hub and through connection string from device manager it sends MQTT data only to IoT Hub, and at least for now it has no capability to send it directly to another add-on's/applications on Azure.
In other words if you want data to go to another application in Azure system you will have to configure it, to take it from IoT hub, and not directly form router. But that is Azure side configuration, and I will not be able to assist you much in that place.
Regards,
VidasKac