To be honest, I prefer PS to the Azure CLI but I have had to resort to the CLI on a couple of occasions. If I remember correctly it was to reset credentials on a VM (which wasn't possible with PS at the time). I guess the main problem with the CLI is that it's not a shell or a general purpose programming language.
The Azure REST API requires a ton of deeply nested JSON data structures. Take a look at this [1] sample. I just can't bring myself to work with that every day.
I really need to buckle down and try that python API.
[1] https://msdn.microsoft.com/en-us/library/azure/mt163591.aspx