A new KB () was released related to Printer preference dialogs launched via RemoteApps. Since it’s also applicable to Windows Server 2012 R2, it’s most likely also applicable to Azure RemoteApp.
“…This article describes an issue that occurs when you select a printing preferences option of a redirected printer in RemoteApp in Windows 7 Service Pack 1 (SP1) with Remote Desktop Connection (RDC) 8.1, Windows Server 2008 R2 SP1 with RDC 8.1, Windows 8.1, or Windows Server 2012 R2. A hotfix is available to resolve this issue. The hotfix has a prerequisite.
Assume that you use a redirected printer to print in a RemoteApp window, and you select the local printing preferences option. In this situation, the printing preferences window appears behind the RemoteApp window…”