I lot of devs starting with Machine Learning go through this confusion of choosing between technologies offered by Azure.
What I have seen is Azure ML offers more control over building a Model hence if you understand regression/classification/categorization/Anomaly detection and able to decide when to use a Supervised/Un-Supervised/Reinforcement learning algorithm you should stick to Azure ML.
On the other hand, if you are looking for ready-made models/samples to quickly get running solutions go with Cortana Intelligence Gallery.
Saurabh nijhawan's weblog 