In Governance importing from an Azure endpoint took roughly 2 hours in 14.5, after updating to 14.5 SP1 CHF1 this has increased to over 4 hours.
Identity Governance 14.5 sp1 chf1
Working with Engineering they have made some changes to the way we query data from Azure. In the above example environment where the 2 hour import increased to 4 hours, the code change reduced this to under 30 minutes total.
Please open a support case and reference this KB for this fix.