I don't think Azure is the legal panacea you think it is for regulated industries outside of the U.S.
Microsoft v. United States (https://en.wikipedia.org/wiki/Microsoft_Corp._v._United_Stat...) showed the government wants, and was willing to do whatever required, access to data held in the E.U. The passing of the CLOUD Act (https://en.wikipedia.org/wiki/CLOUD_Act) basically codified it in to law.
It might not be ultimately, but it still seems to be seen as such, as best I can tell, based on recent corporate experience and some early but very fresh research and conversations with legal/compliance on the topic of cloud and AI processing of medical data in Europe. Azure seems to be seen as a safe bet.