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.