To illustrate the "don't use previews" point, they recently announced VNet peering where two VNets could be peered together without VPN gateways.
We started using them and at some point discovered that half of our instances in a VMSS could not talk to the other VNet and half could. We were tearing our hair out, there is absolutely no configuration difference between those hosts.
We did contact their support and after a few days they came back with this: "there is a small bug with the peering that we are aware of, only hosts which were launched before peering was set up can communicate with the other VNet, for new hosts to communicate you need to delete the VNets, just recreating the peering is not enough"
They did offer to add our hosts in by hand, but we were running back to VPN Gateways ..
... which also have a peculiar problem, the Standard level GW's are capped to 100Mbps but burst to 200Mbps and then get throttled to 0 for about 20 seconds or so. This was also confirmed by Support.
Our experience with Azure has been very painful, things look good on paper but it's pretty much lies or illusions.