Backup is a must. Primary hardware fails. Local backups can also fail or can be inaccessible. Remote backups can also fail, but if you have 2, 3 or even more backup copies in different places and on various medium chances are high enough that you will survive major incidents without data loss or too much of being offline. Talking about Microsoft Azure public cloud platform. But in case of any infrastructure environment you should have working and verified backup tools. Azure has its own. To keep those backups in secure remote place (in the context of Storage Account) you can
In case you have some LXC containers on your Proxmox server, then there is high chance that you will get some errors during backup them up. Some container templates may not support snapshot or suspend modes. Instead you should you use stop mode. It is important to remember that during such backup container will be stopped, so be aware of that in case you have some encryption which could ask for a key during startup.