As Microsoft Azure is a Microsoft product, it doesn't automatically mean that all Microsoft software is fully supported to run on the Microsoft Azure platform.
However, most Microsoft software is supported. Supported means that customers can call Microsoft support and will get full support if their software is running on Microsoft Azure.
Windows Server 2008 and later is supported. There are a few roles that are unsupported:
Dynamic Host Configuration Protocol Server
Hyper-V
Remote Access (Direct Access)
Rights Management Services
Windows Deployment Services
Besides the aforementioned roles, Microsoft also does not support the following features:
Bitlocker drive encryption (on the operating system hard disk, but it can be used on data disks)
Windows Server Failover Clustering (except for SQL Server AlwaysOn Availability Groups)
High Availability and Disaster Recovery for SQL Server in Microsoft Azure Virtual Machines
Internet Storage Name Server
Multipath I/O
Network Load Balancing...