Gastrodon is 2HKO'd by Psyshock so to be honest, Hidden Power Ground is a better option than Grass Knot or Thunder. It allows Azelf to destroy Heatran which totally walls it. Also, I dont know if U-Turn is really important on this Set. I do agree that U-Turn is very usefull and has to be considered in this set, but to be honest, your Grass Knot is probably a better option over U-Turn or Explosion. This Azelf is definitely used as a midgame sweeper. With Explosion, it allows you to keep the momentum and most of the time, Azelf doesnt go alone in the graveyard (for example, Explosion is usefull against Reuniclus, Mew, etc).
So in my opinion, here is the best Set for this Azelf :
name: Life Orb
move 1: Psyshock / Psychic
move 2: Fire Blast / Flammethrower
move 3: Hidden Power Ground / Grass Knot
move 4: Explosion / Grass Knot / Uturn
item: Life Orb
nature: Naive
evs: 4 Atk / 252 SpA / 252 Spe