Compare that already complex situation to what would be needed for Azure to be sold as a product deployable on customer premises as a private cloud. A whole new level of support, documentation and training would be needed for corporate IT staff to operate and maintain a private Azure setup. Azure is changing so quickly that any "Microsoft Azure Operations" training program developed right now would probably be obsolete in a few months.
Cloud computing is still in its infancy; the companies trying to formulate their offerings are making a lot of it up as they go along. The best course of action for Microsoft is the one they're following. First, they need to work out the details of operating and maintaining an Azure cloud inside Microsoft. Next, once the details are settled and not changing daily, they can look at whether it makes sense to offer Azure as a private-cloud product.