He ran tests against the following scenarios:
- SQL Server 2014 running locally on premise
- SQL Server 2014 running in Azure using virtual disk attached storage
- SQL Server 2014 running in Azure using BLOB storage
Here are the results measured in the number of transactions per second (higher transactions is better performance):
As you can see, the local disk performs significantly better in his tests. Using BLOB storage also seems to perform better than disks attached directly to the VM.