I was able to solve my issue by using the tcp protocol instead of http, as well as enabling Non-SSL-Traffic on my Azure Redis Service.
define(‘WP_REDIS_SCHEME’, ‘tcp’);
define(‘WP_REDIS_HOST’, ‘<MyRedisServiceName>.redis.cache.windows.net’);
define(‘WP_REDIS_PORT’, ‘6379’);
define(‘WP_REDIS_DATABASE’, ‘0’);
define(‘WP_REDIS_PASSWORD’, ‘<MyRedisServicePrimaryKey>’);