The standard definition of a check is something that can switch in on some moves (but not others), or on any move but only one or a few times; a counter is something that can switch in repeatedly on any of a set's moves. By these definitions, Azelf does check many Steel-types by coming in on a utility or non-Steel-type move, but its low bulk means that it really doesn't enjoy the prospect. I wouldn't rely on it to perform that role against defensive teams, and it requires prediction.I said check, not counter (as in, beats one-on-one). Obviously Azelf won't be switching in to steels, but most steels don't want to switch in either, which is a problem if your fairy checks are steel types and/or Venu as it means Azelf can pretty much get a kill every time it come in if played right. Heatran and Empoleon have no recovery so can't switch in multiple times.
But ok, point taken, I hadn't gone through every calc and it doesn't fare as well against some steels as I thought :]
I guess my point, which I should have been clearer about, is that Azelf can check most Steel-types, but it is not reliable in that respect, and I would not consider that one of its niches.
We seem to agree that it's useful in its ability to blow past Steel-type switch-ins, at least. Do note that HP Fire+Earth Power Mega Diancie is also capable of this, albeit using a mega slot and really missing Protect.