Hi Ovais,
Often, linking databases geographically away (not the same network) can lead to usual issues such as performance bottlenecks and network outage (see literature on commit 2 phases DB mechanism, etc). FDA or database links are quite the same, from infrastructure point of view.
Moreover, it can ease hacking exploits with opening SQL Server ports, and use of VPN is highly recommended.
So take care to these infrastructure considerations.
Thats' being said, I strongly suggest you to use Microsoft SSIS packages to exchange data by .csv files, between your AC instance and DW db, with help of SFTP protocol (not FTP; so third-party plugin in SSIS).
You can also use Adobe Campaign workflow and SFTP connector to send / receive data to/from your DW located on Azure.
Regards.
J-Serge