Can you not use Bigquery or Aws Redshift? On the microsoft blog posts it seems Azure Data Explorer is more price efficient, though I don't quite understand besides that is it doing something special compared to microsoft's existing offerings?
ADX is an extremely good timeseries data store. Integrates very easily without hassles into EventHub , Blobstore etc, and also has a very intuitive query language. (Though we could say AWS product integrate with Kinesis / S3 into RedShift). Needless to say a lot of nice features like Geo queries , extremely good support make it really good!
Azure was not as good as GCP in terms of data offerings , but with ADX and CosmosDB etc is really getting par with other clouds really well.
Coupled with strong Azure IoT , these data products may be a real winner
The last time I was subjected to azure, I wanted to drive a stake through my head out of sheer frustration.
Curious to know about your experience with Cosmos though, when I last looked it was eye wateringly expensive and reports were that performance was...slow at best.
It is PaaS , you are locked down (just like a lot of other solutions.) The biggest problem we had with other no-SQL databases (we were high on interop and started with HBase / Phoenix ) is that over time the storage costs and operational costs get out of hand especially if we do not have a good data archival part (sometimes limited by legality as well).
As for your frustrating experience , the mileage varies. We were happy with it , so no comments on that one.
For cosmos , we used it for extremely "hot"/"warm" data that was aggregated and made available readily for applications to use. We had reserved instances (big on Azure) , so we keep things in check that way.