It is definitely worth it, Azure will ease up a lot of work when it comes to machine learning. So when it comes to efficiency of carrying out stuff, Azure is right up there. When it comes to learning it, azure is easy to pick up,. But as a data scientist you may want to pick up the basics on your own that way using azure will be much more easier.
You may refer this to know more: https://azure.microsoft.com/en-us/overview/machine-learning/