My understanding is that they couldn’t meet SLAs due to the sheer volume of data some companies were saving or planning to save. We initially looked at MS for mail journaling/archiving, but once we told them we were averaging 60 TB per year, they quickly changed their tune.
You also lose some control over things like access to protocol and diagnostic logs that can frustrate troubleshooting.
The salesman tried to pitch it as being just like having your own servers on-premises, but it's not.