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View Full Discussion OK, I think I've cleared up some of the mystery about how this is supposed to work. First, there's a page here that covers the terrritory: https://github.com/Azure/connectthedots/blob/master/GettingStarted.md . Though in this Massdrop offering, the NUC takes the place of the RPi in that Getting Started page. The key mystery is how the conversation between gateway (NUC/RPi) and Arduino is implemented. Unfortunately, the "Device Setup" link points to a dead page, leaving us none the wiser.
Moving on, there's this page: https://software.intel.com/en-us/articles/sensor-to-cloud-connecting-intel-nuc-and-arduino-101-to-microsoft-azure-iot-hub , where there's a lot of discussion about using the "Node-RED" application on the NUC to configure the sensor modules. But no explicit info on what to program onto the Arduino. However, in Table 2 "Nodes and their parameters" we see mention of "Platform: Firmata". So I guess the missing information is that you're supposed to program the Firmata (https://www.arduino.cc/en/reference/firmata) library onto the Arduino at some point. (I suppose there's an outside chance that the Azure IoT apparatus programs the Arduino for you? Not clear at all.)
I'm not expert but I'm fairly certain that a Raspberry Pi can directly communicate with the Arduino shield via it's 40-pin GPIO connector. It's not neat like with an Arduino board, but it still doesn't explain the NUC. I've found a few references to apparent GPIO pins on NUC boards, but even those state a lack of any explanation from anybody about how to use them... so in order to use this kit properly you need either an Arduino board, as you stated, OR lots of cables, soldering equipment, a multimeter, an oscilloscope, and idk what else, to properly map and then utilize pins on the NUC.
I'm fairly certain the point of the NUC is to dynamically feed data to the Arduino sketch, or even update it, based on some other USB input (touchscreen, as interactive sales displays is what I keep seeing these particular NUCs advertised for) but without the Arduino this is till... well why? It seems like an extremely expensive, extremely niche toy kit for anyone who wants to figure out how to make a really cool DIY interactive display, but doesn't need professional quality; Grove is aimed squarely at prototyping and personal use.