That is because it is how Azure is designed internally. If ask for a Ubuntu 14.04, for example, you will get a virtual machine. A virtual machine is like a computer, and every web server runs on a server.
In the case you are mentioning, GoDaddy probably offers you a shared hosting where many different users run on the same machine (so, for example, if a user suddenly takes up 90% of the CPU it will hurt others' environment).
With the virtual machines that does not happen, and you have an entire operating system to play with (shared hostings do not usually allow you to play with it unless you have a dedicated server or VPS).
In the case of cloud vendors, for example, if you need more resources you can do something as simple as make your instance bigger while in shared hostings you may get a fixed limit on processor, memory and disk usage. If you need backups, you can get one with just a click. If you need to start a new server, you can do it with a few clicks and you will just have to wait a few minutes. You also have total control over the operating system installed.
That is a few of the advantages of using cloud hostings instead of shared hostings.
Hope it helped.