After adding your SAML 2.0 domain in the SMA appliance add the following attribute in Azure in the "attributes and claims" under the saml based single sign on options. Check the box "customize the name of a group claim" Add the name Group in the required field.

Next add the Group attribute in the SMA domain settings. Edit your SAML 2.0 domain in the SMA and add "Group" to the group name field.

Next add a group under users and groups. Choose your SAML 2.0 domain, enter the name of an azure based group and save it. Edit the group and browse to the "SAML Groups" tab. Use the ID of the Azure AD group (xxxxx-xxxxx-xxxxx-xxxxx) instead of the group display name (this can be found editing a group in azure)