I booted up an Azure VM with Windows Server 2012 r2 and attached 5 additional Virtual hard disks to form a storage pool or a larger volume, but none of the disk/volumes are showing up in the Server Manager\File and Storage Services\Volumes\Disks. Am i missing anything?
Server Manager / File and Storage Services / Volumes / Disks only shows basic disks not dynamic disks. It could be very likely that you have created dynamic disks (e.g. in the Disk Management) and volumes on them. In that case they would show up in the Windows Explorer but not in the File and Storage Services.
You would need to convert your dynamic disks back to basic disks using the Disk Management. Conversation back to basic is not possible if there is already a volume on the disk. If there are volumes on the dynamic disk you would first have to delete the volumes.