Azure Security architecture

Regular Visitor

Migrating to Azure.  I want to make sure I get all the correct security applications for Azure like defender , security center, user analytics, SQL auditing, etc.

We are using a cloud SIEM not Sentinal.  
How do I use and verify all the built in security is on?
With Azure there are so many different options, how do I tie it all together and keep cost down?
I am working on a Visio diagram and I want to make sure getting the security logging that is built into Azure and that the data that I need to my Cloud SIEM is set up in the most economical and secure fashion.
I have found many links I plan to read and use to help with my archecture question but any insight for the community is very much appreciated.
 
 
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