Strikes me that this is intentional, not some thing that they are structurally incapable of doing - it is not as if there is a massive engineering effort for ex

Strikes me that this is intentional, not some thing that they are structurally incapable of doing - it is not as if there is a massive engineering effort for example, to support such a thing. Never the less, I am in the same boat as your friends in many cases. In my consulting practice I do lots of SQL Server tuning work and have found very few cases where I can tell a client that going to Azure would be a net benefit for the database. Even with the new dedicated SQL instances, on-premise will almost always get you more perf per dollar. (though the Azure stuff does come with less maintenance headaches in theory)