What is the main Ad's and Con's using MS Graph API vs MS Azure SDK
I would follow up to Laurent, and say, the better solution is the solution that has the least amount of complexity while accomplishing everything you need to do. 
In this case according to your own post, that is clearly just calling graph API directly from your groovy scripting in Jira.
We have teh need to interact with our customers AD from Jira in order to handle automatically user onboarding.
For that we have 2 deifferent approach :

Using Microsoft Graph API
We call directly from Jira Script Runner plugin using groovy script POST and GEt methods, this directly within Jira environment
Using Microsoft Azure SDk for python

Using this approach will need to build a python script which is store in the dedicated location on the VM and calling that scrip from Jira using Groovy script
In the first approach we are using only 4 API call only for how request and we are all time scripting within Jira environement.
ON the second approach we need to deal with 2 types of script ( python and groovy)
Based on your advise, do you see what could be the best based on your experience in order to help me chose one or the other ?
Thanks for help
regards