I checked the Azure Reference document, and I found that the reference of Asynchronous Request (classic) REST has the Get Operation Status REST API what require <subscription-id>, <request-id> and request headerx-ms-version for Service Management. Please refer to https://msdn.microsoft.com/en-us/library/azure/ee460783.aspx.
Then, I reviewed the JavaDocs of Azure SDK and found the Class com.microsoft.windowsazure.core.OperationStatusResponse and com.microsoft.windowsazure.core.AzureAsyncOperationResponse. They have the function getStatus() what return the one of the Enum com.microsoft.windowsazure.core.OperationStatus.
For their details, please refer to http://azure.github.io/azure-sdk-for-java/com/microsoft/windowsazure/core/OperationStatusResponse.html and http://azure.github.io/azure-sdk-for-java/com/microsoft/azure/management/network/models/AzureAsyncOperationResponse.html and http://azure.github.io/azure-sdk-for-java/com/microsoft/windowsazure/core/OperationStatus.html.
They are for Azure Service Management. So you need to import these Classes from the maven repo azure-svc-mgmt http://mvnrepository.com/artifact/com.microsoft.azure/azure-svc-mgmt/0.9.0, see the maven configure below:
<dependency>
<groupId>com.microsoft.azure</groupId>
<artifactId>azure-svc-mgmt</artifactId>
<version>0.9.0</version>
</dependency>
And using the function OperationStatusResponse getOperationStatus(String requestId) of the Class com.microsoft.windowsazure.management.ManagementClient to get the Object OperationStatusResponse to get your wants. Please refer to http://azure.github.io/azure-sdk-for-java/com/microsoft/windowsazure/management/ManagementClient.html.
Best Regards.