1. As clarification on the documentation, you need to create the Service Gateway instance using the user "azureuser". Later on operate the Service Gateway instance using the user "admin". This is due to limitations on the Azure platform.
2. When creating the Service Gateway instance on the Azure Portal, you are asked to generate a key pair or select an existing key pair for user "azureuser". Use this key pair to log in as "admin" user. Please refer to step 14 of KB  Launch Service Gateway Virtual Appliance from Azure Virtual Machine (VM) image 
3. If you accidentally created the Service Gateway instance with password authentication then you can either re-create a new instance with key pair authentication or follow the process to set a password for "admin" user:

• Log in to the Azure Portal.
• Click the Service Gateway instance virtual machine (VM).
• Navigate to Help, and click reset password.
• Enter a new username ("azureuser2" as an example) to create a temp user with Sudo permission.
• Log in to the Service Gateway instance with the new user "azureuser2".
• Execute the command "sudo passwd admin" to set a password for user admin.

After this you should be able to log on to the instance with admin' user with the password you set.