You can subscribe to asynchronous updates from Azure topics and queues by using SubscriptionClient/QueueClient's .OnMessage
call which will presumably create a separate thread polling the topic/queue with default settings and calling a defined callback if it receives anything.
Azure website says that receiving a message is a billable action, which is understandable. However, it isn't clear enough if each those poll requests are considered billable even when they do not return anything, i.e. the queue in question has no pending messages.