You need to open a support case with Microsoft for questions like this although I doubt you get an answer beyond something like because that's what we chose.
The next version of ConfigMgr is supposed to support most scenarios involving Azure IaaS hosted systems.
You could consider a lot of things. Should this work? In general I don't see a reason why it wouldn't as long as the IP traffic is routed properly and there is no IP overlap.
Jason | http://blog.configmgrftw.com | @jasonsandys