Hey, thanks for the detailed report.
This is a known issue - Azure OpenAI endpoints use different routing for the Responses API compared to standard OpenAI, and Cursor’s Apply/Agent features currently send requests in a format that causes 404s on Azure.
The team is aware and working on improving Azure BYOK compatibility. As a workaround for now, you’ll need to use Cursor’s built-in models for Apply/Agent Mode operations.
Related thread with same issue: Cursor Agent Mode cannot modify files when using Azure-deployed GPT-5 mini (communication works but no file editing)