You aren't crazy. I'd recommend testing from your app with a simple speed-of-light test (e.g., SELECT 1;) just in case your queries are slow.

Perhaps Azure SQL did the same thing we sadly did with the first version of Cloud SQL: run it in a totally different environment that requires you to go through several hops to reach the actual (MySQL in our case) server. But even then Cloud SQL First Generation was "only" 1ms away. Second Generation which runs in a VM but managed by Google (like RDS at AWS) is basically equivalent to running it on your own VM, and is thus about 100 microseconds away.

Disclosure: I work on Google Cloud.

PS. We recently launched SQL server images on GCE (https://cloud.google.com/sql-server/) though it's not a managed service (yet?).