The best way to think of SQL Azure is as a bank of SQL Server boxes that someone else is managing, and because someone else is managing those boxes, you have to abide by some important restrictions and requirements. For example:
Every table must have a clustered index.
The absolute largest database you can have is 150 GB (but Federations offer a work-around for bigger databases).
There is no full-text search.
While the XML data type is supported, there is no support for XML indexes, XML schemas, or schema collections.
Only the SQL Server security authentication model is supported.
There is no support for conventional SQL Server partitioning.
More comprehensive inventories of SQL Azure restrictions, relative to the feature set ...