Azure is much more secure than regular Windows.

To me this seems like a different aspect of security. The push with the winxp service packs onwards was to make it secure by default against the network (trying to be vague because I'll probably be wrong on the details), I'm fairly sure it was xp where you could be infected before setup was complete if the network was plugged in, or that acquiring third party AV was something you must do for anything that touches the internet or media from a source you can't 100% trust. Now with defender this is far in the background for most users that they don't need to think about it at all.

The difference with recall is about blast radius of any unauthorized/unintended access, which still happens even if it's less common or via something like clicking a bad link in an email. That's in addition to mistrust of MS or large corporations sucking up data, and how secure they are (what would a Ashley Madison type breach look like with recall data?)