I was exchanging messages with Azure Support and even though I didn’t get a concrete answer to confirm this I ended up asking the question within a Microsoft based yammer group and yes they do automatically carry out consistency checks.
This is great but it is one less thing for me to worry about and if there is serious corruption, you know potential data loss (which would be rare) then they will definitely tell you and work with you.
However, it doesn’t mean you CAN’T run it, I was curious so I ran DBCC CHECKDB on my Azure SQL Databases, but like with any other consistency check it is best to do it OFF-PEAK hours. I would probably take it a step further and wouldn’t even bother running it.
It’s an interesting post, reminding us that administering an Azure database isn’t the same as on-prem.