There isn’t anyway to natively run Kinects on macOS. I am not aware of any options for Kinect Azure, but there are some open source options for getting Kinect v1 or v2 running on macOS as described in this post.
This isn’t native support, so you’ll need to work through the issues yourself.
For installations people have often run a small NUC Windows PC for the Kinect as Kinect v2 only allowed one Kinect device per PC. You often need the computer close to the Kinect because of the USB requirements.
This page can be helpful in identifying what features are not supported on macOS.
And more generally the System Requirements page decribes hardware requirements for other features, some are GPU model specific.