Azure Virtual machines do not support the following server roles:
Dynamic Host Configuration Protocol Server
Hyper-V (Hyper-V role is supported in Azure Ev3, & Dv3 series VMs only)
Rights Management Services
Windows Deployment Services
Active Directory Rights Management Services
Windows Server features
As for the Windows Server Features, Azure Virtual Machine does not support the following features:
BitLocker Drive Encryption (on the OS hard disk, may be used on data disks)
Internet Storage Name Server
Network Load Balance
Peer Name Resolution Protocol
RRAS
DirectAccess
SNMP Services
Storage Manager for SANs
Windows Internet Name Service
Wireless LAN Service