It does not look like as if this has been ever picked up by anyone.
I have taken a shot at implementing an snakemake.remote.AzureStorage module. My preliminary tests look promising, but I could use some suggestions how to test all contingencies. The tests for the other remote providers are very limited, and a simple "copy from remote" is definitely working.
I will open a pull request in reference to this issue and see what kind of feedback people give.