The Data Nodes are not actually running CentOS. All the nodes in HDInsight are based on the Hortonworks Data Platform (HDP) for Windows. This means that any of your streaming programs are actually running on Windows when you're using HDInsight.
The article you refer to is talking (rather confusingly!) about an alternative pattern of setting up your own Hadoop on a series of Azure VMs as IaaS. HDInsight takes the need for that management overhead away (that's what you're paying for over the VM charges) and provides PaaS.
Of course there is nothing to stop you running streaming MapReduce and C# in mono on a linux based Hadoop, but your mileage may vary here.