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To configure cdn for video steaming, Open the web-cong .config and look for the <digizuite element. The child element that we are looking for is this <cdn baseUrl="" destinationId="" />. You can read about the parametere at DFE 2.1.0 - 3 Setting up Episerver.
Please contact you contact person at Digizuite, they should be able to provide you with the destionationId. Please remember thet the destionationId should be a destination with no security.
Please note that when you setup a new cdn endpoint in Microsoft Azure, the property Origin path must be empty. Othewise the requested url to Digizuite will be incorrect.