I don't in my example. But that's not why I am using Azure (assuming you're referring to needing Polybase). I particularly use Azure for Data Warehousing and Data Science products. Data Warehousing for an example, grants me access to a MPP system versus an SMP system to where I can have a columnstore that scales out across dozens of virtual machines versus scaling up on one virtual machine. This is why articles like this are great for people like me. It means we also have the ability to take advantage of Polybase and connect multiple data sources from multiple source systems to a structured data model through external tables.

It's just another tool in the toolbox, not a replacement for an existing tool such as SQL Server 2016.