Q: Is Azure connected to Internet2?
A: Yes, including both Azure and Office 365. This has been the case since Microsoft and Internet2 established direct peering. This was announced in May 2013; you can see the formal announcement in the article "Internet2 Establishes Direct Peering to Microsoft Cloud Services." If you're curious about Internet2, see "The Internet2 Community: Enabling the Future" for more information. Essentially, Internet2 is a very high bandwidth network connecting research, industry, academia, and government for collaboration purposes.