/usr/lib/linux-tools/4.15.0-1039-azure/cpupower is in linux-tools-4.15.0-1039-azure 4.15.0-1039.43.
This file is owned by root:root, with mode 0o777.
It is a symlink to /usr/lib/linux-tools/4.15.0-1039-azure/../../linux-azure-tools-4.15.0-1039/cpupower