/usr/src/linux-headers-4.15.0-1037-azure/firmware is in linux-headers-4.15.0-1037-azure 4.15.0-1037.39~16.04.1.
This file is owned by root:root, with mode 0o777.
It is a symlink to /usr/src/linux-headers-4.15.0-1037-azure/../linux-azure-headers-4.15.0-1037/firmware