When you use SQL Server Managed Backup to Windows Azure on a database in SQL Server 2014 SP1, SP2, or 2016, the backups that are past the retention period are not deleted according to the retention policy.
The issue was first fixed in the following cumulative update of SQL Server:
Each new cumulative update for SQL Server contains all the hotfixes and all the security fixes that were included with the previous cumulative update. We recommend that you download and install the latest cumulative updates for SQL Server:
Microsoft has confirmed that this is a problem in the Microsoft products that are listed in the "Applies to" section.