I haven't used it much; I have used AWS a bit more, and there I recall you had to pay more if you wanted an instance on Windows or on RHEL proper rather than using CentOS or Debian. Those costs probably do add up to a lot more as you scale up (although it's silly to look at that in isolation). But he's comparing using Azure to self-hosting on your own hardware, I think.
Yeah, you don't pay extra for Windows itself on Azure, costs the same for a 2012 R2 DataCenter VM as it does for a small 2008 worker role, as it does for a Linux VM. You would have to pay for software like Oracle or SQL Server though, obviously.
Also, we don't have to worry about managing VMs at all so we don't generally think about those sorts of things except for a couple of very niche uses like our chat bot or QA testing VMs.
