- Uptime
The number and frequency of outages in Azure are crazy. They happen non-stop all year around. You get meaningless RCAs but it never seems to get better, and if it did, you'd have no way of knowing.
Compare this with doing stuff internally - you can hire staff, or train staff, and get better. In the long run outsourcing and trusting other companies to invest in "getting better" doesn't end very well. Just because they moved their overall metrics overall from 99.9 to 99.91 may not help your use case.
- Reliability
Their UIs change every day, there's no end to end documentation on how things work. There's no way to keep up.
- Support
Azure's own support staff are atrocious. You have to repeatedly bang your head against the wall for days to get anyone who even knows the basic stuff from their own documentation.
But it's also difficult to find your own people to do the setup too. Sure, lots of people can do it, but because it's new they have little experience and end up not knowing much, unable to answer questions, and building garbage on the cloud platform. Because there's no cloud seniority, it hasn't been around for long enough.
- Security
Cloud providers have or can get access and sometimes use it.
- Management
I've seen too many last minute "we made a change and now everything will be broken unless you immediately do something" notifications to be happy about.
- Cost
It's ridiculously expensive above a certain scale, and that scale is not very big. I don't know if it's because people overbuild, or because you're being nickel-and-dimed, or if you're just paying so many times above normal for enterprise hardware and redundancy. It's still expensive.
Yes, owning (and licensing) your own is expensive too.
For smaller projects and tiny companies, totally fine! It's even great!
- Maturity
People can't manage cloud tools properly. This doesn't help with costs above.
PS: I don't think any other cloud service is better.