There is no built-in integration between PPM and AzDO like there are with Jira or ALM Octane - however, along with PPM 9.60 we're releasing a PPM connector for MF Connect, an integration middleware like ConnectIT or a simpler TaskTop.
MF Connect already has connector for AzDO (and ServiceNow too in the case anyone is interested).
The only integration scenario supported with MF Connect is 1:1 bidirectional entity sync: When one object is created in AzDO (Epic, Feature, etc.), a PPM Request will be created and fields will be synchronized - and vice-versa. This is very similar to the PPM "Request Integration" available for Jira & ALM Octane in PPM, except that with the PPM integration it's only possible to create an entity in the agile tool when it's created in in PPM first, whereas MF Connect also supports sync when the object is created in the Agile tool first.
For more info about MF Connect, check here: https://admhelp.microfocus.com/connect/en/4.0-4.3/Online/Content/Topics/about.htm