It's told through dialogue.
You don't need to have the Nathanos character appearing in front of you and giving it to Azshara.
Read the context and sequence of events.
Sylvanas and Azshara have a deal. Sylvanas and Azshara go into more detail about the deal. The deal talks about Azshara receiving the dagger. Azshara gives you the dagger in the raid.
Previously, Nathanos is seem with the dagger in Naz'jatar saying he has a mission.
If from that you can't figure out "Nathanos gives the dagger to Azshara"...................