We've tried the latter, twice, they got bought and support quality tanked both times. We don't want to manage hardware yet, so...
Also, customers want MSSQL, and managed MSSQL is nice since it's trivial to scale up and down with the needs of the customer.
Started using their other services like Service Bus, Blob Storage and Application Insights. We're using .Net so integration is quite simple.
It wasn't my call, but there weren't that many great alternatives from what I can see.