With the latest release of System Center Configuration Manager (SCCM) Current Branch (build 1806), you can now use your cloud management gateway to distribute content.
Previously you had to deploy 2 separate cloud roles: the cloud management gateway AND the cloud distribution point.
To enable this option, go to the Administration workspace and reach out the Cloud Services\Cloud Management Gateway section
Then edit (or create if you do not have yet created it) your cloud management gateway to enable the option Allow CMG to function as a cloud distribution point available through the Settings tab
This option will use Azure storage capabilities
Once enabled you will be able to deploy content to your CMG; you can also see that the SCCM client is then automatically pushed