In addition to checking the status in the top-right of the LoadMaster WUI, it is also possible to check which LoadMaster is active by accessing port 8444 through the Public IP address since the Load Balanced Rule was created for this port, that is,

http://<PublicIPofAzureLoadBalancer>:8444

Ensure to use HTTP, not HTTPS. On the active unit, you should see "Active/Standby is active". On the standby, you should see a 503 service unavailable error. If you see these messages, it means the LoadMasters are working correctly.