"When you are using a PAAS you are giving up a lot of control to the service provider. The service provider chooses which applications you can run and imposes a series of restrictions. ... In the long run, we think a self-hosted solution will be much simpler for us to maintain, tune and automate."
Now as that blog admits, this is not a problem particular to Azure but more the result of PAAS trying to simplify and streamline the process. For technical staff used to having complete control over their servers, it's tough to "pay no attention to the man behind the curtain" as they say in the Wizard of Oz. Perhaps there will be a new generation of techs used to PAAS, who gladly delegate away the worries of running boxes in return for being able to focus on their applications.
StackExchange might have stayed on Azure had they known Microsoft was planning an Infrastructure-as-a-Service (IAAS) offering that offers complete control over the environment and is similar to services like Amazon EC2. Even at that, the Amazon EC2 experience can be culture shock for those moving off dedicated data centers; just ask Netflix which recently made the move. If the StackExchange situation is a sign of the challenges that cloud platforms such as Azure face, it may be quite a while before Microsoft can bring that business into the black.