1. Data Collection and Monitoring Capabilities: Azure Application Insights primarily focuses on monitoring applications and measuring their performance, collecting data like request rates, response times, and failure rates. On the other hand, SignalFx excels in real-time streaming analytics, providing advanced monitoring and alerting capabilities for infrastructure and application performance with features like intelligent alerting and anomaly detection.

2. Integration with Azure Services vs. Multi-Cloud Support: Azure Application Insights seamlessly integrates with various Azure services, making it the preferred choice for organizations heavily invested in the Azure ecosystem. In contrast, SignalFx offers support for multi-cloud environments, enabling monitoring and observability across different cloud platforms such as AWS, Google Cloud, and Azure.

3. Scalability and Data Retention: Azure Application Insights comes with specific limitations on data retention and scalability, with options to increase storage capacity but at an additional cost. SignalFx, on the other hand, provides a more flexible and scalable approach to data retention, offering unlimited data storage and rapid scalability to handle vast amounts of monitoring data effortlessly.

4. Custom Metrics and Dashboards: While both Azure Application Insights and SignalFx allow users to create custom metrics and dashboards, the level of customization differs between the two. Azure Application Insights provides a robust set of tools for customizing dashboards and metrics within the Azure portal, whereas SignalFx offers more advanced visualization options and customization features for creating tailored monitoring solutions.

5. Machine Learning and AI Capabilities: SignalFx stands out with its built-in artificial intelligence and machine learning capabilities, enabling intelligent analytics and predictive monitoring for proactive issue resolution. In comparison, Azure Application Insights lacks native machine learning integration but can be integrated with Azure Machine Learning for advanced analytical capabilities.

6. Community and Support: Azure Application Insights benefits from Microsoft's extensive documentation, support resources, and a large user community within the Azure ecosystem. SignalFx, while offering robust technical support, also boasts a vibrant user community and a broader range of integrations with popular tools and services beyond Microsoft's offerings.

In Summary, Azure Application Insights and SignalFx have key differences in their focus on data collection, integration capabilities, scalability, customization options, artificial intelligence features, and community support.