Azure search service 502 error

I have a 8.2 sitefinity multisite project. I'm hosting it in an azure web app.  It seems to be working except trying to reindex a search service. 

I developed locally using Lucene which worked fine.  After deploying to azure, I changed the search service to Azure per the documentation, and entered the URL and API key.  Then I try to reindex and receive a 502 bad gateway error.  I did change the CORS settings in the search service to allow ALL as well. 

I wasn't sure if I had to create an index in azure first or not, so I tried both ways and received the same error.  Has anyone successfully hooked up the azure search service and if so, what were the configuration steps?  I feel like the documentation might be missing something.