Trust in the belief that Microsoft will act in your best interest regarding the privacy of your data.
But, isn't reasonable then to ask if Microsoft is actually trustworthy? PRISM, NSAKEY, Flame malware propagating via Windows Update, their 0day policy... I don't think Microsoft is trustworthy.
If you worry about interception, then code inspection and monitoring isn't going to give you any assurances. You'd have to run open-source software locally, audit it, and not put it on a cloud like Azure in the first place?
(And the NSAKEY was something completely different if you dig into it.)
I am just saying, in this specific case, should you trust Microsoft with your data? That's all.
If you don't trust MS you can trust one of the organisations that certified them for the strictest compliance and regulations in the public cloud space.