Right, that is by design. With Visual Studio we want to publish the software, not the site content from our dev machine, not the user.config from our dev machine etc. So we have filtering in our .csproj files to leave out such things that we don't normally want in our package of software.
Publishing to Azure is kind of a different animal than producing a software package which is what we normally do. Publishing to Azure is publishing site content and software updates together in some cases.
However, there are numerous ways to publish to Azure instead of directly from VS, you can use git, dropbox etc, so my suggestion is deploy from VS to a local folder and then deploy any additional files you want to the same folder manually so you have a local set of files exactly what you want to publish, then publish to Azure a different way, ie git, dropbox etc.
Hope that helps,