In my opinion, the whole thing with Azul is Utena's inner contradiction showing. She wants to see the magical girls "fall", but originally it was a pure desire and feeling of admiration. They're simultaneously her targets and her heroes. To see one of her heroes fall so easily, even if it was to her own hand... She didn't like it. She wants to see them at their lowest state, but she also wants them to stay strong and not to give up. If she was a pure sadist, she would have been happy to see it, but she's not. She admires them. She looks up to them because they're strong, and they won't break. And to see them do exactly that, so easily, was extremely disappointing to her.
