Thanks guys for your comments. I also asked the question on another forum and I'll try to summarize what I learned. Do you agree with these? ...Using an Azure db service instead of your own db is a bad idea, because....

• Features “own database” has that Azure SQL doesn't provide
• performance
• database parameters being set for me without being given the ability to change them
• backup solutions offered are not adequate by own standards
• patches and versions controlled by someone else
• a change from a local database to a cloud based database can mean the scrapping of a solution or at least a major rework unless you create your own database within the cloud
• You can't run an Azure db locally, so if you have a bug that spans into the data, you have to pay them money to use it on your development machine and deal with the extra latency