Configure Azure WordPress web app to work with Exchange Online SMTP relay

I am on the process of recreating the public websites for my company using WordPress (which will do just fine for now). One of the cool things in Azure is that we can provision WordPress (and many other web applications for that matter) on a platform-as-a-service model, meaning that we don’t have to worry about the underlying operating system or virtual machine. With just a few clicks we can have a full-blown WordPress site up and running on Azure, and with a few more clicks we can scale the deployment up or out. It is a fantastic service, but there is one aspect that is not as straightforward: emails. By default WordPress will not send any sort of email notification since there is no SMTP server in the local host. I wanted to configure WordPress to use my Office 365 Exchange Online via SMTP relay, which I managed to do after a few hours of research. Here is how is done.