Lets assume you want to set a pointer record (PTR) for your System Center Configuration Manager Cloud Management Gateway (CMG).

First of all, you will need to install the “Azure PowerShell Service Management module”, and Login to your Tenant. This process is documented on the Microsoft Website:
Installing the Azure PowerShell Service Management module

When this is done, you may want to change the subscription, in my case it was necessary. To do so, simply show all of your subscriptions with “Get-AzureSubscription” and select the appropriate subscription with “Select-AzureSubscirtion” afterwards:

When you have selected the correct subscription, you can list the Azure Services with “Get-AzureService”.
With the following command, you can set the Pointer record for your CMG:
Set-AzureService -ServiceName "YOURSERVICENAME" -ReverseDnsFqdn "HOSEBECMG01.hosebei.ch."