Microsoft Live Custom Domains are now shutting down. I have been using this service for e-mail hosting for all my Microsoft Azure Websites, but now it is gone and no viable repl
I just finished installing a mail server in Azure in a Linux virtual machine. So far seems ok.
The total cost of operation is about 10€ a month since neither Ubuntu (the OS) nor iredMail (the mail server) nor Postgres (the database) have any licensing fees.
Regarding the block on Azure IPs I do believe that most users saying that did not correctly configured their servers. And by that I mean that they didn't configured the PTR reverse DNS on Azure, which allows other mail servers to check if that IP is allowed to send and receive mail from that domain.
Also make sure you add the SPF DNS entry for your mail server. You can't blame a mail server to blacklist you if you don't minimize the risks of SPAM.
Hope this helped you.
Useful links:
IredMail Server - http://www.iredmail.org/
Reverse DNS in Azure - http://azure.microsoft.com/blog/2014/07/21/announcing-reverse-dns-for-azure-cloud-services/