Having things in the cloud should make life simpler but I have experienced it’s not that straightforward. Once all access / configuration is sorted out then yes, of course! But in the meantime it can be tedious (even frustrating) and the end result is something that could have been achieved with a different method.
I think a significant chunk of what Azure offers is easier to do with the more conventional methods but that separates us from the advanced Azure features that a company would like to utilize in the shorter / longer term future. So there are reasons to spend some time / effort in getting things right up there.
In my case the task I needed to accomplish sounded simple enough:
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get a SQL Server database backup (.bak file) from Azure blob storage
copy it to our own environment and restore it to a SQL Server instance on an Azure Windows VM
or skip the copy step and restore straight from blob storage