@Serhiy Topchiy Azure OpenAI Service is more like the OpenAI API offering than ChatGPT. ChatGPT is a ready-to-use chatbot application powered by GPT-4 models and many other features that you would expect from a consumer facing application. Note that ChatGPT Enterprise does receive API credits as well in addition to access to ChatGPT.
On the other hand, Azure OpenAI Service provides access to the same OpenAI models (GPT-4 and others) via APIs and allows you to integrate them into your own custom applications. Being on Azure, it comes along with many additional functionalities like Network Isolation, Azure AD based Authentication/Authorization, Billing, etc.
In terms of security and privacy, Azure OpenAI Service is similar, if not a little more secure with the option of network isolation. But you do not get a ready-to-use chatbot application to immediately share with your employees/users.