I recently received an MXCHIP IoT DevKIT and I experimented the Azure connectivity functions available in the Arduino library for this platform.

The "DevKit -Get Started" section of the github gives detailed description of each step:
https://github.com/Microsoft/vscode-iot-workbench/blob/master/docs/iot-devkit/devkit-get-started.md

 

I'll summarize the actions I had to perform to establish an MQTT exchange between my MXCHIP board and Azure IoT Hub:
I first installed two tools on my machine:
     - Ardunio IDE

     -  Visual Studio Code

 

VS Code contains all specific entries required to handle Azure functions, which are not in the Arduino IDE, moreover it is a pretty efficient IDE compared to Arduino.
Two extensions must be installed in VS Code: "Azure IoT Workbench" and "Arduino". Then the specific platform for the MX board must be installed from Arduino Board manager.

At this point I had all the tools to build and run the GetStarted application, but I still needed to go through a few configuration steps on the MX board:
    - Set my WiFi credentials (Button B + reset as explained in the get started)

    - Set the connection string to my IoT Hub device (Button A + reset ...)

 
I made the choice to create a new device in my Azure IoT hub portal, this is where I got the connection string and copied it in the VS Code task.
When all these steps are done, I was ready to sownload the code of the getStarted project to my MX Board (I made a slight modification to see my name appear on the screen...)

After download, the board first connects to WiFi and then start sending MQTT messages to Azure IoT hub. This activity is visible in the console attached to COM port.

Thanks to the detailed description in the github, the whole operation took me less than an hour (including tools installation).
Now that the board is configured, testing a new program takes minutes.