I have installed AzureRm and Azure module on Windows server 2012 R2. I can run other cmdlets from this module (eg.AddAzureRmAccount, Get-AzureRmSubscription) but Login-AzureRmAc
Seems like their powergallery setup is broken, I installed it using webPI and it is working fine.
For webPI download instructions:
https://regularitguy.com/2014/03/13/installing-the-windows-azure-powershell-cmdlets/