Do Data Collection modules adhere to price chunks (Azure & AWS) ?

Yes!

That is the whole point of the PayloadFormat + BulkElementFormat configuration parameters (relevant for both Azure & Amazon AWS).
We try to send in 32K bytes chunks, but split on JSON format borders. Azure will price calculate it on the 4K bytes border.
If the dataserver is configured so the PayloadFormat does not use the %b (BulkElementFormat), then we will NOT fill up a packet before sending it; and.
if the dataserver is set to a PublishInterval that is lower than the sample interval for the collectors, then it forces DCM to send data packets before they are "full".
(So using PublishInterval = 0 costs a lot of money on Azure).