no alternative if the thing breaks down...
I agree. It's nice that they let you own your program in the azure cloud, but it's build on something you do don't own, understand or have an alternative to. So if windows is any indication of the way Microsoft thinks about security, than you are running your government app on... well you don't really know now do you?
In the Amazone cloud, it's your (linux) configuration running. So in the unlikely case that Amazon has a bad day, you can very rapidly switch to another datacenter or similar cloud to run the government app. In any case, your company or government will at least be going about their normal business, while suing the cloud provider for not living up to their SLA.
You won't have that option with Azure. Since Microsoft et al. alone will own and run the Azure infrastructure, this means you will have to wait (hours/days/?) for Microsoft et al. to get their cloud up in the air again. You cannot transport your app to another cloud. And since every Azure cloud (also the ones from third party resellers) is the same, it forms a single point of failure. Any (small) mistake on the part of Microsoft or their ecosystem can lead to a total cloud failure and thus a failure in the continuity of your business.
But the value proposition of Microsoft appears pretty cleaver. You can own your software, that would be a big step forward for governments. Although probably third party vendors will make proprietary software running on the Azure cloud stack/platform. Proprietary applications, which you are probably not allowed to move to another Azure cloud, even in the case of a Azure failure. So that makes governments even more dependent and worse off than they are today.
The other value proposition: governments don't have to manage servers, creates the illusion of reduced costs. Although based on history I think : ($ to manage own servers == $ for a azure license) in the end.
For governments the question becomes simple: when Azure gets cracked or fails (and it will), is what the Azure companies will pay governments in damages on the basis of the SLA, enough to repair what the leak/outage has caused? Including lost of trust by the people, reputation damage, lost negotiations, privacy violations, locations of nuclear submarines, malfunction of the management software for the energy grid, communication problems in an active theater of war etc.
If not what's the point of switching and paying a lot of money for the Azure cloud? With your own setup you at least you had a fighting chance to prevent data loss or computing outage...