The idea with the hosted version of the service is that you're paying more but (in theory) you're also getting more. You can certainly host your own Redis but A

The idea with the hosted version of the service is that you're paying more but (in theory) you're also getting more. You can certainly host your own Redis but Azure's hosted offering probably automatically takes care of a bunch of "housekeeping" things that you would have to manage yourself otherwise, like provisioning, HA, scaling, backups, and automatic integration with other Azure services. For a lot of companies, an extra $35 per month to save hours of work is a no-brainer.