Assume that you use the RESTORE HEADERONLY or RESTORE FILELISTONLY command to restore a database from Windows Azure Blob storage service in Microsoft SQL Server 2014 or SQL Server 2012. After the command is completed, you cannot remove the backup file.
The issue occurs because there is an infinite lease on the backup file. Some race conditions between internal threads cause the lease to be not released in some cases.
Microsoft has confirmed that this is a problem in the Microsoft products that are listed in the "Applies to" section.