/lib/modules/4.15.0-1039-azure/build is in linux-headers-4.15.0-1039-azure 4.15.0-1039.41~14.04.2.
This file is owned by root:root, with mode 0o777.
It is a symlink to /usr/src/linux-headers-4.15.0-1039-azure
/usr/src/linux-headers-4.15.0-1039-azure