Thats the issue. When you select B&R as GW Server that means the B&R Server (which I guess is not in the cloud) process the syntetic by down and uploading the bytes. As you had described this will take forever.
You need to select a server in the cloud as Gateway Server.
Question, where is the CIFS share located within Azure? Is it on a Server or on a Serivce provided by Azure ?
Here is an example video... maybe helpful... https://www.youtube.com/watch?v=1OgyQcra9f4