I'm the author of the RedLock.net library that you linked in your question. The reason the documentation specifies connecting to independent redis instances is based on the reasoning in the Redis Distlock documentation. By forcing writes only to master nodes, we hopefully avoid the situation where a user might misconfigure Redlock to connect to multiple replicated hosts.
According to Azure Redis Cache 103 - Failover and Monitoring there is a load balancer in front of an Azure Redis Cache (at the standard tier and above) that ensures that you are always connected to the master.
Connecting to multiple redis instances (either replicated or not) should give a fairly good guarantee that no two processes end up running at the same time (moreso than a single replicated instance).
In order for another process to 'steal' the lock before the first had finished, more than half of the independent redis instances would need to lose their lock keys (e.g. by restarting without persistence), then have process two gain the lock before the timer in process one reacquired it during its extend timer.