Would you do it again (ProxMox)?
Having tried azure local before (it seems magical but the more you use it the worst it gets, update failed for no apparent reason on only some supposedlyidentical nodes, the sdn was atrocious to deploy and was manageable from wac only), I would recommend proxmox over it anyday.
If you don't have linux expertise on hand and have traditional FC based storage, I would recommend something else, probably nutanix if your budget is big enough.