Azure Maps won't recognize shape files

I have some custom polygons by our GIS analyst that I'm supposed to overlay on top of Azure maps. I'm following this guide and trying to do it on service itself -

https://learn.microsoft.com/en-us/azure/azure-maps/power-bi-visual-add-reference-layer?tabs=upload

But when I go to upload the shape (.shp) file for a reference layer, it only recognizes geojson files. What is going on? Can someone please explain?

Thanks.