Its an Azure VM but few databases are hosted on Actifio 3rd party storage.
So this is the fun with answer questions in forums. Far too often posters give too little information about important things like the environment. For your question, there is quite a difference if it is in your own computer where you have all components in one single cabinet, of it is something in a corporate data centre with a SAN and all that, or if it is an IaaS.
I placed my bets on the middle alternative, since in the corporate case, where is quite much of finger-pointing.
But you have Infrastructure as a Service. That makes it simpler. You open a case with Azure support and tell them that you have unacceptable performance. Forget all I said about networking etc. All that falls within what you are buying from Microsoft, and this is something they need to fix.
Well, I guess that I need to reserve myself for Actifio which I'm completely ignorant of, and I'm a little puzzled how you have 3rd storage in the cloud.