Nothing noticeable… but it has this weird bulge/scar on the side. Should I saw it off?
Is that where the upper roots were? Maybe an old branch site?
Whatever it appears to be inverse taper which never looks good on trees and even worse on bonsai. Sometimes we don't get a choice and just have to live with or work to reduce/ disguise inverse taper.
On a trident or another fast growing easily healed species I might be tempted to chop that bulge but azalea don't heal as well. The dead parts in the bulge will make it even more difficult to heal over if you chop.
In any case you don't want to inflict further trauma on a newly transplanted tree so just let this one recover for at least 12 months. By all means plan but hands off. Care and attention only for a full year. Haste frequently cases demise in the bonsai world.
Also, I’ve never tried air layering, but is it necessary or worth it to propagate another tree?
Many newer growers encourage layering simply because it seems to be a good idea to make 2 trees from 1. My experience is that it delays development work by around 12 months so only worth while where there are insurmountable problems with the trunk or the species is rare or special. In most cases we can purchase replacement stock quicker and easier than layering.
Whether or not to layer then comes down to:
Are there insurmountable problems with the existing trunk that layering would remove reasonably easily?
Do you really need a second tree of this species?
Is the top part good enough to spend the time and effort or could you buy another of equal value cheap?
The answers will vary from place to place, from person to person and depend on the species and it's quality. Only you can answer the question.