How can this be done? AFAIK you can stream to Event Hub only via "Diagnostic settings" / Diagnostics extension, but custom logs are AFAIK only available for Log Analytics Agent. I am a bit confused by the many Azure VM agents. In AWS I would use the Firehose Agent for streaming custom logs to Kinesis, for instance. Very simple.
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You can use Diagnostic Logging to not just forward to Log Analytics but also store to Azure Storage (BLOB) or to Event Hub from Event Hub you can forward to whatever Azure Service which supports this method or from Event Hub to Azure Data Explorer.
ADX is a service specifically made for Logs\Telemetry or other kinds of data.
An example below for Logs to Event Hub: https://docs.microsoft.com/en-us/azure/active-directory/reports-monitoring/tutorial-azure-monitor-stream-logs-to-event-hub
How to use Azure Data Explorer to ingest Logs: https://docs.microsoft.com/en-us/azure/data-explorer/ingest-data-no-code?tabs=diagnostic-metrics
