For this scenario, why is SQL Azure Database Performance Difference so much on Web and New Premium Editions

Question

We are migrating an website to SQL Azure and found a scenario where there is a very significant performance difference between our current hosting and azure database.

To be clear, the stored procedure code is written poorly and can be fixed but what I would like to understand is the reasons behind the performance difference.

Here is the offending code inside the procedure that is causing the problem

declare @curPinNumber int
set @curPinNumber = 183843692

declare @pinNumber int
set @pinNumber = 0
while @pinNumber < 10000
begin
    set @curPinNumber = @curPinNumber + 1
    insert into PinNumbers(pinNumber, pinNumberText, whenLastUsed, siteID) 
    values(@curPinNumber, right('0000' + cast(@pinNumber as varchar), 4), '1970-01-01', 999)
    set @pinNumber = @pinNumber + 1     
end

Here are the test results for the procedure

azure sql database web edition

run #1: 41 seconds
run #2: 37 seconds
run #3: 37 seconds

standard edition s1 (15 DTU's - MS have since made S1 20 DTU's)

run #1: 3 minutes, 44 seconds
run #2: 3 minutes, 41 seconds
run #3: 3 minutes, 42 seconds

standard edition s2 50 DTU's (not a mistake - all were very consistent)

run #1: 1 minute, 51 seconds
run #2: 1 minute, 51 seconds
run #3: 1 minute, 51 seconds

premium edition P1 (100 DTU's)

run #1: 56 seconds
run #2: 55 seconds
run #3: 55 seconds

premium edition P2 (200 DTU's)

run #1: 33 seconds
run #2: 33 seconds
run #3: 34 seconds

*The two vm's below have seperate log and data disks.

sql on a virtual machine (basic, 1 core, 1.75gb ram. sql enterprise core edn)

run #1: 53 seconds
run #2: 50 seconds
run #3: 51 seconds

sql on a virtual machine (basic, 2 core, 3.5gb ram. sql enterprise core edn)

run #1: 49 seconds
run #2: 50 seconds
run #3: 51 seconds

my desktop pc

run #1: 3.7 seconds
run #2: 3.1 seconds
run #3: 3.1 seconds

current hosting (which has 7 year old equipment)

run #1: 6.1 seconds
run #2: 6.0 seconds
run #3: 6.0 seconds

So my assumption here was a key factor is the logging and log flushes that are taking place, possibly the write ahead transaction logging http://msdn.microsoft.com/en-us/library/ms186259.aspx

Adding a BEGIN / COMMIT TRAN block or joining from an existing preset table with 10,000 rows indeed gets the performance back to 1-2 seconds on the web edition of sql azure, and even faster on my local machine.

I would have expected Azure to be in a similar performance zone to my desktop or old hosting

My question is why on Azure is the difference so magnified? I'm trying to judge if this just a corner case that we happened to pick up during testing and most importantly what things we should look out for in our migration.