Yes, SQL Azure's contained database model will take some getting used to, but the issue isn't just about security, there are technical reasons why this is done. In a cloud hosted environment, the infrastructure topology isn't as static as it is with on-premises databases. Databases are routinely shuffled between VMs and data centers, so joining across databases is problematic.
1. Work with SQL Azure by containing your user add-on tables in a separate schema rather than a separate database.
2. SQL Azure and on-premises are not the only two options, there is also Azure IaaS (infrastructure as a server) hosting where Microsoft provides an instance of Windows Azure upon which you provision a preconfigured non-Azure instance of SQL Server, or you can install SQL Server using your own preexisting media and license.
"The universe is complicated and for the most part beyond your control, but your life is only as complicated as you choose it to be."