What is the actual utility of using this model on Azure? It's twice as expensive, according to the link.

Do Azure offer something that simply hitting the OpenAI endpoint doesn't provide?

It's the same price as regular processing. You get guarantees microsoft give you, which are ones OpenAI won't (or require dedicated spend,) and you can use azure identities for access.

They’re ZDR and the OAI ones aren’t

Compared to OpenAI flex? I'm pretty sure that is their batch processing endpoint, which is naturally cheaper.