Hi Omin,
First of all, we do support TACACS authentication. You can find the documentation in the admin guide.
Regarding AD authentication, we have developed a solution that is currently offered in a limited availability due to some limitations that might apply to some of the customers.
In order to get this solution you can approach Check Point solution center. We recommend waiting for R80.30 but in case you need it on top of R80.20 we can also consider it.
Regarding Azure, we will need to evaluate it based on information about the topology and configuration, the best way to handle it would be submitting an RFE.
Thanks
Yaelle Harel | Group Manager
Check Point Software Technologies | Management Product