That information appears to be out of date. You can now export the Azure SSL certificate as a PFX file. https://stackoverflow.com/questions/38836724/export-azure-ssl-certificate-as-pfx-file
The FAQ was later updated to say:
"We’ve gotten a lot of feedback from customers asking for this ability, so we now allow you to export your certificate as a PFX file so that you can use it across multiple subscriptions and Azure services."
See also:
Wild Card SSL for Multiple Client Cloud Service
Configure SSL Certificate
Add a TLS/SSL certificate in Azure App Service