Why is a simple SQL script so much slower in Azure SQL - sql-server

Question

I run a simple insert/update/delete 1m rows script to crudely check the health of our SQL server installations. It's 10 times slower in Azure SQL(S6) than on our in-house test server. Anyone experienced similar problems? Is there a fundamental difference in the way that Azure SQL behaves which invalidates the test?
Test Results
Our Internal Server
32GB RAM, Intel Xenon 3.3 Ghz
(1000000 rows affected)
Insert Duration = 124 Seconds
Update Duration = 3 Seconds
Delete Duration = 3 Seconds
Azure SQL database 400 DTUs (S6)
(1000000 rows affected)
Insert Duration = 1267 Seconds
Update Duration = 36 Seconds
Delete Duration = 71 Seconds
SQL Server Script
IF (SELECT COUNT(name) FROM sysobjects WHERE name = 'PerfTest') >0
BEGIN
DROP TABLE PerfTest
CREATE TABLE [dbo].[PerfTest](
[PerfID] [int] NOT NULL,
[PerfTX] [varchar](20) COLLATE Latin1_General_CI_AI NULL,
[PerfDT] [datetime] NULL,
[PerfNm] [int] NULL,
CONSTRAINT [PK_PerfTest] PRIMARY KEY CLUSTERED
([PerfID] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
) ON [PRIMARY]
END
ELSE
BEGIN
CREATE TABLE [dbo].[PerfTest](
[PerfID] [int] NOT NULL,
[PerfTX] [varchar](20) COLLATE Latin1_General_CI_AI NULL,
[PerfDT] [datetime] NULL,
[PerfNm] [int] NULL,
CONSTRAINT [PK_PerfTest] PRIMARY KEY CLUSTERED
([PerfID] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
) ON [PRIMARY]
END
DECLARE
#InsertStart DATETIME,
#InsertEnd DATETIME,
#DeleteStart DATETIME,
#DeleteEnd DATETIME,
#UpdateStart DATETIME,
#UpdateEnd DATETIME,
#PID AS INT,
#PTX AS VARCHAR(20),
#PDT AS DATETIME,
#PNM AS INT
BEGIN
PRINT 'Timings will be at the bottom of this result set'
SET #PID = 0
SET #PNM = 0
SET #PTX = 'ABCDEFGHIJABCDEFGHIJ'
SET #InsertStart = GETDATE()
--Insert Test
WHILE (#PID < 1000000)
BEGIN
SET #PID = #PID + 1
SET #PNM = #PNM + 1
SET #PDT = GETDATE()
INSERT INTO PerfTest VALUES(#PID, #PTX, #PDT, #PNM)
END
SET #InsertEnd = GETDATE()
--Begin Update Test
SET #UpdateStart = GETDATE()
UPDATE PerfTest SET PerfNm = PerfNm + 1
SET #UpdateEnd = GETDATE()
--Begin Delete Test
SET #DeleteStart = GETDATE()
DELETE FROM PerfTest
SET #DeleteEnd = GETDATE()
PRINT 'Insert Duration = ' ++ CAST(DATEDIFF(SS,#InsertStart, #InsertEnd) AS CHAR(5)) ++ ' Seconds'
PRINT 'Update Duration = ' ++ CAST(DATEDIFF(SS,#UpdateStart, #UpdateEnd) AS CHAR(5)) ++ ' Seconds'
PRINT 'Delete Duration = ' ++ CAST(DATEDIFF(SS,#DeleteStart, #DeleteEnd) AS CHAR(5)) ++ ' Seconds'
DROP TABLE PerfTest
END
Thanks people, I'd really appreciate you sharing any experience you have in this area