I've figured out the problem, and for those of you having a similar issue to myself, the way around it is that you're most probably trying to execute these type of commands through your SSH client (e.g. PuTTY). Confusingly, this isn't where you access your Sandbox from (which the tutorial isn't very clear about), this only SSHs into the VM running the Sandbox. In other words, you're only on the VM, not the Sandbox.
To access the Sandbox via a Shell, you need to first, as usual, SSH into your VM's public IP address (obtained from Azure), then open your web browser and navigate to 127.0.0.1:4200 (you may need to configure this port as one of your SSH tunnels). This would bring up a web-browser based Shell which is directly accessing the Sandbox. Log in using username root/password hadoop and here you'll be able to execute hadoop and other service based commands (e.g. ambari-server commands, ambari-agent commands etc.).
There is no need to reconfigure SSH ports on either Azure or on the VM's OS to listen to 2222 instead of 22, which I've seen suggested in other similar topics. Follow the Sandbox's set up tutorial (https://hortonworks.com/tutorial/sandbox-deployment-and-install-guide/section/4/), and then follow the above paragraph to access the Sandbox's Shell to be able to execute hadoop based commands.
