No. It's not you. It's azure. They're really good at selling an enormous list of features that they provide ("look at all these compliance and reporting requirements we can facilitate!"), with minimal-if-any-thought thought about the experience of people that have to figure out where those features are, how they are supposed to work, and how they actually work.
I had one azure salesperson talk endlessly about how they make it so much easier to deal with windows licensing requirements, even though we began the conversation by saying we're a linux-only shop.
I don't think I can talk about the other reasons I hate Azure. Expect pain whenever you have to touch azure infrastructure.