Q: I want to set up a multi-disk volume in Azure to increase the available size and performance. Should I use a standard RAID set or Storage Spaces?
A: The ability to create software RAID on dynamic disks has been a feature of Windows for a long time, enabling disk striping (RAID 0), disk mirroring (RAID 1), and parity sets (RAID 5). In Azure, each "disk" is actually stored in a BLOB in Azure Storage, which is replicated three times within the data center. It isn't necessary to use any kind of disk resiliency, which means RAID 0 would always be used. However, a better option is available as of Windows Server 2012.
Storage Spaces allows you to add multiple disks to a pool (a Storage Space) and then create virtual disks (which aren't VHDs—the naming is just unfortunate) using the disks in the pool. Those virtual disks can be simple (no resiliency, similar to RAID 0), mirrored, or use parity. As with the software RAID, with the Storage Spaces technology you always use the simple type of virtual disk; no resiliency is required, because of the inherent resiliency of Azure Storage. I suggest always using the Storage Spaces feature when possible (i.e., Windows Server 2012 and later virtual machines) rather than traditional software RAID because you have greater flexibility. In addition, it's the future of software-defined storage for Windows.
Note that the Storage Spaces feature is supported in Azure virtual machines even though it isn't supported for regular Hyper-V virtual machines.