Window Azure SQL Server DB Backup to a local-Premise
I would ditch Azure Sync by all means .. buggy and still in preview since ages.

We have exactly same requirement and what I did was create SSIS package and load the data from Azure to OnPremise on a nightly basis. It works just fine once you set it up. Make sure to load the data as per FK relationship.

On other side, you can explore Windows Azure SQL Database Import/Export Service.