@pedri
I understand you are wanting to improve the performance of your ultra disks, in particular the latency.
I think the first thing that needs to be determined is whether there is an IOPS or throughput bottleneck. To do this you can use the Storage IO utilization metrics. This should also run you through performance testing that can be done to determine the max capability of your disks and VM. Please note that VMs and disk have their own separate limits that need to be checked.
Ultra disks are the closest thing Azure offers currently to attached storage. If this does not meet your performance needs you will have to choose a VM with local storage.
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