I came across this exact same issue today in Azure and thought I'd add the solution we used to resolve it.

We encountered the 404 error when progressing past the Database Connection settings page in the browser. We also tried manually creating a wp-config.php file and populating it with the same information we used on the Database Connection page in the browser but that had made no difference so we enabled debugging mode in the wp-config.php file:

define( 'WP_DEBUG', true) ;

That then showed us an error about insecure transports:

Connections using insecure transport are prohibited while --require_secure_transport=ON

So we added the below in the wp-config.php file:

/** SSL Addition. */
define( 'MYSQL_CLIENT_FLAGS', MYSQLI_CLIENT_SSL );

That then allowed us to continue the set up in the browser.