/lib/modules/4.15.0-1036-azure/build is in linux-headers-4.15.0-1036-azure 4.15.0-1036.38~14.04.2.
This file is owned by root:root, with mode 0o777.
It is a symlink to /usr/src/linux-headers-4.15.0-1036-azure
/usr/src/linux-headers-4.15.0-1036-azure