Persistent problems between Azure VMs and virtual disks causing unexpected reboots. Complete outages. And don't even start me on ACI (for Windows). It doesn't even work.
In 7 years we had one AWS AZ outage and we didn't even notice because our monitoring platform in there couldn't reach the network (learned something!). But nothing broke. Even the us-east-1 outages didn't affect us.
Were you using Standard HDD disks? They have a really poor SLA, and are only usable for things like stateless VM Scale Sets or otherwise redundant services.
We had to switch everything to SSD to get reliability comparable to on-prem VMware.