Storing personal data in Azure does not compromise confidentiality. See https://learn.microsoft.com/en-us/azure/security/fundamentals/protection-customer-data
Azure provides enterprise-grade data protection and compliance tools, but you are responsible for (per the shared responsibility model):
Data classification and encryption
Access controls
Access to customer data by Microsoft operations and support personnel is denied by default. When access to data related to a support case is granted, it's only granted using a just-in-time (JIT) model using policies that are audited and vetted against our compliance and privacy policies.
https://learn.microsoft.com/en-us/compliance/regulatory/offering-home
With Storing data it is important to follow best practices. See:
Azure data security and encryption best practices
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Regards,
Abiola