Yes it is supported in ADO extension, as long as you export Roslyn Analyzers issues at compile-time in .json files in the directory $(SolutionDir)\.sarif (solution referenced by the NDepend project) as explained in the video at 0:34, NDepend will import the issues.
Is this feature also available in the azure devops extension?
Yes it is supported in ADO extension, as long as you export Roslyn Analyzers issues at compile-time in .json files in the directory $(SolutionDir)\.sarif (solution referenced by the NDepend project) as explained in the video at 0:34, NDepend will import the issues.