For monitoring, we are using Application Insights.
Since we are advertising on multiple platforms, (Google, Facebook, LinkedIn, other 3rd party platforms) one of the business goals is to track which marketing dollars on which platform result in most subscriptions, and pour more money there.
To do that I need to know which platform did user originate from.
Where do I find, where the user originated from, in Azure Portal? (referer URL maybe),
If it is not supported "out of the box" I would have to guess I need to pass parameter in URL that would indicate the platform or something similar like grab a cookie, how does one track where the user originated from?
This is obviously a solved problem, but I am having a hard time finding any articles on how to do this the way Microsoft expects it.
Possibly a duplicate of Does Application Insights track referrer url?, which is more specific.
App insights itself is a broad set of APIs across various technologies. Not all of those things have referrer information available to them.
In general, wherever you collect information from, you'd send it as a custom property / custom dimension in the telemetry that you send.
Custom dimensions can be used for whatever purposes you want, so there's no standard of how Microsoft expects them to be used.