Update on my Azure-Exit: https://atlas.torproject.org/#details/0534295ACFD5A84312183B41D3FB275E9ADD9E... It already has consensus weight 1200 after less than two weeks and its raising. Everyone should use this option to give the TOR-Network a good push. After my free time has finished, i'll try to download an image of this Exit and create a second account on azure. Technical question: Could it be useful to save the keys and the fingerprint to use it on a "new" VPS to start with better performance?
Yes, keeping the key will help you retain (most/some of) your relay's reputation (assuming you are moving within the same AS with unchanged connectivity).
For security implications I recommend you read teor's answers in this thread: https://lists.torproject.org/pipermail/tor-relays/2016-September/010229.html