Apparently you don't have to actually talk to him to buy is item. He just showed up for the sixth time (via message) when I was in Caer Nua this time but, as usual, not in corporeal form. After looking all over for him (again), for some reason I opened the stronghold screen and selected the action button. There in the list of actions was an entry for Azzuro that showed what he was offering and a "purchase" button to the right. Just click to buy or ignore it if you prefer. The item shows up in the chest in the general merchant's room in the keep.