You should be able to add the UA FF number when you check in at the airport. Recently the Azul web site has been terrible. When I bought UA tickets that included an Azul flight, it would give me an Azul confirmation number. Putting that into the Azul web site resulted in a new confirmation number and added the flight to my account with Azul. Hasn't done that anymore for the past 2 to 3 months. As a last resort, in you can't add the FF number prior to the flight, just save you boarding pass and you should be able to submit it for credit.