As mentioned in the same doc, dependency collection is enabled by default. While there are many dependencies that are automatically collected, you can still track one manually with a TrackDependency call if it isn't auto-collected.
App Insights measures the duration of dependency calls, whether its failing or not, along with additional information like name of dependency and so on. The collected data can be found in Application Map, Transaction diagnostics, or queried from Log Analytics.
Example:
This should enable you to investigate specific dependency calls and also correlate them to requests and exceptions. Dependency Tracking in Azure Application Insights is explained in great detail in this article.
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