This actually makes allot of sense for Sony... Rather than invest Billions in building-out an expensive cloud service that will only be used by their gaming division... Leverage one of the big Three's (Google, Amazon, Microsoft) efforts instead who have done the hard work.
The cloud isn't getting any smaller... Plus this should relieve some pressures on their slower Playstation Network too.
We actually need another info on how Sony choose working with Microsoft instead of Amazon and other company. Hell even Google is not ot of the question either. All of the cloud company are great , it's still mind boggling how this partnership came and why Microsoft Azure?