Q. What is this white substance on my Azaleas?
Your description sounds like leaf gall, which is a fungus. Remove them by cutting them out. If you don’t cut them out, each year there will be more of them. It’s best if you cut them out early in the season.
Locating azaleas in a brighter, but not full sun location and where they get good air circulation will prevent them from getting this fungus.
For detailed information on controlling galls, see link below.