Hello! The good news is that the last two photos are the same problem so instead of three you have two issues. The white masses are most likely female azalea bark scale insects. The females are reddish brown and look like the bumps on the other photo you provided. The bad news is that the white masses are a waxy substance that she secrets over her eggs, underneath is her egg mass and the female scale insect. The other reddish brown bumps are adult scale insects that are currently attached and feeding on your azalea.  Because scale insects have a hard shell and are tightly attached to their food source chemical treatment is not usually effective. When the eggs hatch there will be LOTS of small reddish scale insect babies which are called crawlers that crawl quickly away and seek new places to attach themselves to on your shrub and the cycle repeats once or twice a year. Wind can disperse these things to other susceptible hosts. At this active stage they are the most vulnerable.  I found documentation that says that the crawlers are usually active during the month of July here, so you have some time but should monitor the situation closely. You can scrape the scale insects off your shrub with a fingernail or a toothbrush. Another technique is to put tape around the branches sticky side out to capture the crawlers once they hatch or use something else to capture them such as Tanglefoot. This is only necessary to do near where you see adult scale.   The sticky substance trap only works for the young scale insects. Adults need to be scraped off. Scale insects have lots of natural predators so depending on the amount of damage to your shrub you may be able to concentrate on trapping the crawlers that emerge. Birds, lady beetles and their larvae, green lacewings and multiple varieties of minute wasps parasitize the scale. To prevent damage to these “good bugs” you should not use any type of systemic pesticide to deal with your scale. Your nurseryman may also be able to recommend other chemicals that are labeled for scale insects. You can also prune out the branches that are heavily infested. Destroy or dispose of the prunings. I would not compost them.  A horticultural oil or an insecticidal soap that is labeled for use against scale can be used on the crawlers.  Scale can also attack other shrubs in the area near your azalea, so you should check other shrubs for signs of them. Concentrate on shrubs that are losing vigor or are starting to turn yellowish. The final photo you sent seems to imply a caterpillar of some sort. Look for them and pick them off unless the damage is wide spread.