According to Microsoft, some customers have been experiencing performance issues when running SQL Server in a Microsoft Azure Virtual Machine. This has not been reported widely, or at least the complaints haven't reached the general community. It's also possible that many have had issues, just wrote it off as yet another problem associated the Cloud, and moved on without complaining.
Whatever the case, Microsoft Azure is a key piece of the company's forward progress and a major part of Satya Nadella completing his vision as CEO. Microsoft put together a team of individuals from various internal groups including customer support, Azure storage, and SQL Server.
Microsoft's research into the problem led the company to update the best practices for using SQL Server in Microsoft Azure. The document now includes a checklist of 18 items that customers should review as part of the SQL Server deployment in a Virtual Machine that resides on Microsoft Azure.
The updated checklist is here: Performance Considerations for SQL Server in Azure Virtual Machines