Such an exe should work fine, until you can transfer folders for recording from / to it. Before I get into WebJobs, I suggest checking it manually in a web application using the Kudu Console to make sure it is working fine.
Then, if your goal is for it to work with blob I / O, exe exe should work. Obviously, it would be cleaner to have it work directly with blog streams, but if the deprecated exe is given and cannot be changed, the wrapper approach should be good.
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