Yeah, there's a definite hurdle to get over when moving to Azure. I've been finding analogs to most of the services I need, like Blob storage instead of S3, managed disks instead of EBS.
There are some things I definitely prefer in Azure to AWS too; I find the AD-based authentication to be much easier to understand and implement compared to IAM. The SMB shares (File storage) are great, integrate well with Kubernetes, and are a lot faster than EFS.
Non-premium VM IO performance is abysmal though, and I really wish I could store SSH public keys in Azure AD.