If let’s say 3 virtual machines are under a load-balanced endpoint. The applications running inside these virtual machines produce some result files that need to be downloaded to clients local machine. So if a client makes a request to list all of his files how can one virtual machine know about the files that may exist on other virtual machines?
Is it possible to run application through virtual machines that store files in blobs not vhd disks and write also in tables and queues?
In Azure, each VM is independent of the others. As you have rightly stated, no one virtual machine has knowledge of the others.
The solution is to use one of the SaaS storage options (like blob storage or Azure SQL Database) which are not local to the individual VM and are accessible by all applications which are in possession of the key.