The documentation you linked to describes how to use MicroPython code running on the XBee to interact with Azure IoT. Since your intent is to use the Azure IoT SDK (or another similar codebase) on your own MCU, and simply use the XBee 3 Cellular module for IP connectivity, then you have two options:
1. Configure and use the XBee in API mode, and update your Azure IoT code to leverage something like the Digi XBee ANSI C library (https://github.com/digidotcom/xbee_ansic_library) for TCP/IP activity.
2. If your MCU has its own IP stack (e.g. is running Linux or another similar OS), then use USB Direct mode and PPP, using Modem Manager or pppd (https://www.digi.com/resources/documentation/Digidocs/90002258/#tasks/t_ppp_lte-m_nbiot.htm).
In either case, you are not relying on the XBee itself to "implement" Azure IoT, and instead just use the XBee modem for IP connectivity.