Until you do the maths
8tb (8000G) = AU$510 (WD NAS drive, retail)
8000G on Azure = AU$104.00/month
ROI in < 5 months
That isn't cold storage either. I know, there are other costs, such as electricity, fancy storage management and chasses etc, but with storage this cheap, you hardly need to manage it and if its archive storage, you hardly need fancy slice & dice management layers.
My ancient core2 mobo with dual Gig ethernet has 8 sata ports giving 64TB of raw storage (say 32G usable) which would bring in $416/month mirrored, $728 if you go raid5, for data which essentially sits there doing nothing.
Yeah, so MS has a mountain of engineering it needs to do to offer this commercially and at large scale. The question is, why would a customer care about that? Why wouldn't they do it themselves?