Set retention for SQL backup to URL
In order to clean up files in Azure blob storage requires PowerShell or going through some app like Azure Explorer. So it is likely that Ola's backup script does not support it since there is no native T-SQL command or procedure to access blob storage in that manner.

When you are deleting files you will need to account for any that may still have an active lease. BOL has code to handle dropping the active leases.