Microsoft has introduced the ability to create managed disks in Azure a while ago. This feature takes away the manual management overhead for you to keep track of your storage account limits. Managed disks are not stored in “regular” storage accounts, but Microsoft will take care of the VHD placement and will keep track of any IOPS limitions.
For example, a Standard Size VM allows 500 IOPS per disk. The maximum IOPS for a Standard storage account is 20.000 IOPS. This means that you can host a maximum of 40 disks (OS or Data) in a Standard storage account. When you use unmanaged disks, you’ll need to keep track of this limitation yourself. When using managed disks, Microsoft will make sure the 500 IOPS per disk is available, regardless of the storage account.
The conversion of an unmanaged disk to managed is very easy; Microsoft created the ConvertTo-AzureRmVMManagedDisk CmdLet for this. But if you want to convert back from managed to unmanaged, no CmdLet or function in the Azure portal is available for the conversion (for example Azure Site Recovery; very nice feature of Azure, but it doesn’t support managed disks). Converting back to unmanaged is a bit harder, but still possible.