This article was originally posted on the Azure Blog by Principal Program Manager, Azure Cybersecurity and can be found HERE 
Azure Security Center now offers full support for Windows Server 2016. Today, the Azure Monitoring Agent, which is used by Security Center to collect security metadata from virtual machines, is compatible with Windows Server 2008 R2 and newer versions, including Windows Server 2016, as well as most popular Linux distros (see complete list).
Security Center leverages this metadata to identify security issues, such as missing system updates and vulnerable OS configurations, and applies behavioral analysis to detect malicious activity, such as an attacker executing code or attempts to persist on a compromised VM.
To enable these protections: