Can you please contact us at support @ site24x7.com, we will look into the issue with details. We think that its an Office 365 specific issue.
Having said that, we support 2 ways for Azure to give delegated permission to Site24x7
1. We attempt to get the delegation through one click method (which I assume is what you tried)
2. Allow you to create a custom app for delegation
As an alternative you can try the 2nd method. The steps to try it are in this help documentation. Though this is a manual process it is one time process.
Looking forward to hearing from you.
Product Manager, Site24x7