From the documentation
When you create an application and run it in Azure, the code and configuration together are called an Azure cloud service (known as a hosted service in earlier Azure releases).
By creating a cloud service, you can deploy a multi-tier application in Azure, defining multiple roles to distribute processing and allow flexible scaling of your application. A cloud service consists of one or more web roles and/or worker roles, each with its own application files and configuration.
My understanding is that Virtual Machines in Azure are self managed and have no concepts of roles, so why does creating a Virtual Machine in Azure also create a Cloud Service.