"Q. How would MS know the difference between an "egress" and running a bunch of queries on your datatables that happen to involve exfiltrating all the contents to somewhere else?"
They wouldn't, which is why both are billed and why you have to shut down your account or meet some other requirements to qualify for that bill to be canceled.
"2nd Q. Why on earth did you go cloud or Azure in the first place?"
Well in the case of some of my employers, because they're relatively small, so they don't need enough servers to set up their own server room, and renting them across continents instead of collocating them was considered either cheaper or more reliable (I write code that runs on the servers, not choosing where to put them). I think they could have done better by running the compute-intensive internal stuff somewhere local, but running the public-facing stuff on cloud servers makes sense the way they've arranged it.