Hi,
I don't think there's any big differences, however there might be some differences in the pricing, for SCOM it doesn't matter which cloud provider you choose.
SCOM is currently only supported on Infrastructure-as-a-Service (Iaas), so in other words you cannot use SQL Managed Instance for the SCOM database and data warehouse.
SCOM will receive it's own "SCOM as a Service" soon, you can read some more about this here:
http://www.opsman.co.za/coming-soon-scom-as-a-service/
Regarding the SQL, from what I know SQL runs best on Azure, it's a Microsoft product after all, you can read more about this here:
https://azure.microsoft.com/en-us/blog/sql-server-runs-best-on-azure-heres-why/
(If the reply was helpful please don't forget to upvote or accept as answer, thank you)
Best regards,
Leon