It's not exactly a technical reason. It has to do with how Microsoft was internally aligned back when the platform called Windows Azure started. You have to remember that different teams created the Service Bus (used to be Biztalk Services), SQL Database (used to be SQL Azure, SQL Server Data Services, etc.), and Windows Azure (used to be Red Dog). Each service was created independently and in fact didn't even rely on the other (in the beginning at least).
I can't even recall now the myriad of different brandings and platforms that were there - it doesn't matter anymore. The reality is that there are still different teams that build those products and they don't always align at first. SQL Database used to be deployed into different clusters (not sure if that is true anymore) so affinity groups were not relevant. Same with Service Bus. For now, just remember that Affinity Groups only apply to Windows Azure compute and storage. Over time, I would expect a more cohesive experience (like the portal). However, some concepts are still rooted to where the team that built them resides.