The Microsoft Kinect for Azure (k4a) is only supported officially for Ubuntu 18.04.
Here are instructions to install its library in a more recent OS:
# Download these two .deb files:
wget https://packages.microsoft.com/ubuntu/18.04/prod/pool/main/libk/libk4a1.4-dev/libk4a1.4-dev_1.4.1_amd64.deb
wget https://packages.microsoft.com/ubuntu/18.04/prod/pool/main/libk/libk4a1.4/libk4a1.4_1.4.1_amd64.deb