OP, I have Azurite Black on order for my M, and have seen it in person (TTBear's former e92 m3).
It is really a very dark blue rather than black. It's bluer than Jerez. Like you, I kinda wanted to avoid the purple-ish tone. Jerez is a very nice and special color in itself but I'd rather a pure black or a dark blue in that instance.
Unfortunately, I've never seen Midnight Blue in person. It would have also cost++ (for us Canadians compared to the Azurite), so another reason it wasn't worth pursuing for me further... But WallyE's car looks terrific.
Present: 2013 M3 coupe (Azurite Black, Black, Piano Black)
Past: 2010 335i coupe (Monaco Blue, Cream Beige, Grey Poplar)
+ miata nut (2004 GT/LS and 2013 GS/Club Edition)