To run SQL Server with CLR etc, you'll need to run SQL Server in a Virtual Machine.
For the web tier, there are advantages to Cloud Services (web roles), as they are stateless - very easy to scale out/in without worrying about OS setup. And app setup is done through startup scripts upon bootup. If you can host your session content appropriately, the stateless model will be simpler to scale and maintain. However: If you have any type of complex installations to perform that take a while (or manual intervention), then a Virtual Machine may indeed be the better route, since you can build the VM out, and then create a master image from that VM. You'll still have OS and app maintenance issues to contend with, just as you would in an on-premises environment.
Let me correct you on your 3rd bullet regarding background processes. A cloud service's web role (or worker role) instances are merely Windows Server VM's with some scaffolding code for startup and process monitoring. You don't need a separate role for each. Feel free to run your entire app on a single web role and scale out; you'll just be scaling at a very coarse-grain level.