As shown below, you have the following three options when integrating an application in Azure (of course it is based on your application type).
When adding a Custom application from the Gallery, you supposed to see the following configuration screen for the application integration:
Custom application is part of the Azure AD Premium offering. If you don’t have a premium license, instead of the above screen, you will see a link Add an unlisted application your organization is using which points to the https://azure.microsoft.com/en-us/documentation/articles/active-directory-saas-custom-apps/ URL as shown below:
This issue can be resolved by assigning the premium license to the respective Azure Directory. If you don’t have premium license, you can obtain a trial license from here.