Hello, I downloaded azure svg icons (https://docs.microsoft.com/en-us/azure/architecture/icons/) into MyShapes folder, however, when I open Visio, I cannot see them in stencils , any steps I am missing here?
Shapes don't automatically appear in stencils. However, importing svg files is a different matter. You can import an svg image into a Visio document via the ribbon -> Insert -> Image.
You can also create a stencil from svg images, I have such a utility at https://www.paulherber.co.uk/visio-utilities3/ (https://www.paulherber.co.uk/visio-utilities3/) and I think there are others as well.