Microsoft Azure Cloud is secure by default. Shared responsibility in public cloud is related to the fact that you host resources on a public cloud service provider’s infrastructure. Who is responsible for what (regarding security) depends on the cloud service model you use (IaaS/PaaS/SaaS).
The owner of the tenant is responsible for managing and securing the tenant using Azure Identity and Access Management Service, i.e. Azure AD. The Azure AD has IRM and Identity Protection Services. Microsoft is responsible for securing the platform and data centre physically and logically. Data Security has been a shared responsibility for any Azure tenant.