UDP Fragments getting dropped

I have a remote server which sends UDP packets of size around 1600 bytes to my app running on Azure. The packet never reaches the app. "netstat -s" reports 

    16 fragments dropped after timeout
    16 reassemblies required
    16 packet reassembles failed

I see only the first fragment in tcpdump. I don't see the subsequent fragment.

UDP packets of size smaller than 1500 works fine.

I have tried increasing SO_RCVBUF buf size, net.core.rmem, ipfrag threshold, MTU size with no luck. Are there any other options that I should try? Could it be that the underlying router/network is dropping the fragments?  If so, anyone from Azure team can help validate/resolve it?

Many Thanks,

Sujith