@Srinivasan, Shridhar (Shridhar) It can be many reasons. If I had to guess I would say other features were a higher priority to get done first.
For example, let's say you started developing applications for Azure. Will your first released application support every possible service, REST API call, etc., that Azure offers? Or will it only support some subset that you decide for various reasons is "first priority", and then you would add features over time?
You can check out azcopy issues tagged as feature requests. There are some related ones:
This is a common pattern not only with Microsoft, but every other software manufacturer. Another example, long before Azure existed, Microsoft had features in its Windows Server operating system that were supported partially, fully, or not at all by its various client operating systems and client tools.
This is one of the main reasons these types of things are documented.