Depends on your requirement for safe. Sensitive data can be anything, from your delusion that your private stuff is interesting to anyone to medical data that you HAVE BY LAW to keep according to certain standards, in which case "safe" is well defined.
Without knowing what you mean with safe, this is not really answerable.
I would normally say it is as safe as with any host - possibly more as I think MS has more resources on staff to organize things than most hosters.
Safe from vendors - I would say yes. But then, what do you mean? OBVIOUSLY MS can access the data. They have to (you know, backups, maintenance) and azur IS AN OFFER FROM MICROSOFT. Your hoster always has access. WIll they go through all the hundreds of thousands of user databases and scan for data (which would be illegal and in breach of their contracts, but just assume) - hell no. But would they turn over the dat when a cout order comes? Hell yes. Will they sell it to amazon? Hahahaha. Good joke. No.
So, what is safe?