They do have to pay licensing, its money that goes from one business unit to another within the Microsoft Corp, thus to not destroy the Azure budget, they pass the license costs to you instead of eating it.
It's not as if one business unit can't give a "90% discount" to the other if the grand common leadership thinks it's a good idea... now, that would be anticompetitive to all other hosting providers, but it would makes sense as a tactic in the "great war against *nix" that they are 100% loosing on the server side :)
