We have to be careful with the term Azure here. Putting a Portal in front of your Private Cloud does not really mean Azure = Azure.
As of today there is not really a way to Backup Azure(Public)VM´s that sit in the Azure(Public) Cloud ( unless you would like to Pay $$$ for Data in Azure Cloud ) without having Agent´s inside the VM´s ( $$$).
When your data sits on Azure(Public Cloud), According to MS your Data does not need to be Protected because it is replicated locally and geo-redundant, based on you Contract.
However, we all now that "replicated" does not mean Backup. there is no App Integration for this.
Another choice is, while not supported by MS, SNAP your Azure BLOB an copy it over for a Restore.
We are Pretty perfect with EMC´s Data Protection Suite when the data sits on Prem. When you run you private Cloud in a Self Service Fashion, we do an automated backup of all newly Created VM´s.
We also Allow data to be Backed up to the Cloud as a Backup target !.
As ever the choice is Yours. If there is not much data to be Backed up and you Cloud VM´s could be rebuild fast, than is might be a good idea to backup you Changed datasets to you On Prem Cloud (don´t really like the Term Azure here ).