The Supported Platforms for BI 4.2sp7 does not list support for MS Azure as a CMS or Audit data source. It looks to me like the note is just saying your databases should be installed in Azure but it doesn’t say it uses an Azure database. I would assume that database type restrictions would still be what is listed in the Supported Platforms Guide.
Weve had a similar question recently, SAPs hard line is just to follow the PAM, but the PAM isn`t explicit on this subject.
Im guessing it would work, most Azure SQL DBs IaaS, PaaS, SaaS are all variations on regular SQL Server, but you`d have no chance if you needed to log a support call with SAP!