Managed backup to Azure does not delete backup after retention period
I ended up making a Sql server agent job that runs this with powershell mode:

# Ps1-script to keep azure storageaccount for managed backups clean

Import-Module Azure

$storageAccount = "STORAGEACCOUNTNAME"
$storageKey = "STORAGEKEY"
$blobContainer = "CONTAINERNAME"

$CleanupTime = [DateTime]::UtcNow.AddDays(-4)
$context = New-AzureStorageContext -StorageAccountName $storageAccount -StorageAccountKey $storageKey
Get-AzureStorageBlob -Container $blobContainer -Context $context | 
Where-Object { $_.LastModified.UtcDateTime -lt $CleanupTime -and $_.BlobType -eq "PageBlob" -and $_.Name -like "*.bak"} |
Remove-AzureStorageBlob
$CleanupTime = [DateTime]::UtcNow.AddDays(-4)
Get-AzureStorageBlob -Container $blobContainer -Context $context | 
Where-Object { $_.LastModified.UtcDateTime -lt $CleanupTime -and $_.BlobType -eq "PageBlob" -and $_.Name -like "*.log"} |
Remove-AzureStorageBlob


This does delete all .bak and .log files older than 4 days. It does not however work on blobs that does have active lease on them.