The Azure documentation states that the OS disk is "registered as a SATA drive", while data disks "are registered as SCSI drives". These are not footnotes, but are listed as one of the first pieces of info provided about the different disks. Why is the type of disk important or helpful to know in Azure? Does this change anything about how I might manage VMs in Azure?
This is a side-effect of Azure being based on Hyper-V. Hyper-V allows booting off of SATA connected drives. However, the number of virtual SATA controllers you can have in a VM is limited. Virtual SCSI controllers allow you to connect many more drives.
In a VM with only 2 drives, you could connect both as SATA, but that's not the standard practice among Hyper-V administrators. Typically, only the boot drive and CD/DVD drive will be connected via SATA. All other drives will be connected as SCSI.
The way Azure behaves is just an extension of that practice.