I dont think Sony can afford investing multi billions in a network that will only really benefit there gaming department. PS alone wont turn that figure around any time soon.
MS use Azure for many reasons and actually there gaming Division has little input for it. MS make there money on Azure via other means, something Sony as a corp isnt involved in. Sony is a tech giant not a software giant, a cloud service similar to Azure/Amazon would cost a fortune and wont benefit Sony that much as a whole and PS i dont think will be enough to make back that amount of investments unless they find multiple means for it.
$30b is a huge chunk out of Sony plus its not something i think they can build soon. Will wait and see on there appoach, maybe they will bite the bullet and invest, maybe they will rent the service out, or maybe they wont go the Streaming route. All just assumptions for now.
The key is "investment "If it's making money SONY will surely investing weather a gaming or service data and etc. The future model already in the course of software and Internet Service. Even if they are only making the cloud system for gaming only they will make it. And don't forget SONY isn't just making games and consoles, SONY has Music, Movie , Money Insurance , and a long with Health care business. Building a cloud system has been in their goal and their mind set business and will surely inline with their goal. PlayStation is not just a consoles, they are making a brand , a brand that sells big.
Although Azzure are big and SONY might not able to create the same thing, It doesn't mean SONY cannot compete directly. SONY is still big in electronic Industries and their assets is getting bigger and closer to Microsoft. I am sure they have a though on that already. The question is how and when will they announce it. But i am pretty sure we will get to the point that cloud service , streaming and data sharing become mainstream.