You should not have needed an Ebsv5 (memory-optimised) instance. For that kind of thing, you should only have needed a D-series VM with a premium storage data disk (or, if you wanted a hypervisor-adjacent, very low latency volume, a temp volume in another SKU).
Anyway, many people fail to understand that Azure Storage works more like a SAN than a directly attached disk--when you attach a disk volume to the VM, you are actually attaching a _replica set_ of that storage that is at least three-way replicated and distributed across the datacenter to avoid data loss. You get RAID for free, if you will.
That is inherently slower than a hypervisor-adjacent (i.e., on-board) volume.