MS now ships Debian for Azure through a collaboration with Debian and credativ, and also in the Windows Store running through the Windows Subsystem for Linux. They've hosted a Debian cloud sprint, sponsored DebConf, and engaged in good-faith substantive ways that don't only benefit their platforms. Of course, they care most about their platforms, but that's fine.
In the other direction, Debian does ship fully open source software (what Debian would call DFSG-free) with Microsoft as author.
Debian isn't playing favorites, of course, and is similarly working with Amazon and Google (among other partners of all sizes) in areas of shared interest.
I agree it's important to be able to Debian in the environment of your choice. That includes Azure as well as self-hosted and small-hosting-company options.