Are you sure it does that?
I even tried with the "devel" branch and it did not do that:
$ ansible -i contrib/inventory/azure_rm.py azure
ERROR! Inventory script (contrib/inventory/azure_rm.py) had an execution error: The Azure python sdk is not installed (try 'pip install azure') - No module named msrestazure.azure_exceptions
contrib/inventory/azure_rm.py:22: Error parsing host definition ''''': No closing quotation
But I do have it installed in this environment:
(ansible)[andre@Giedi ~/work/vc/ansible]$ python -c "import msrestazure.azure_exceptions"
(ansible)[andre@Giedi ~/work/vc/ansible]$
If I change the /usr/bin/python call to use the "env" in azure_rm.py everything works.
André