I thought that it would be a good blog post to outline some of the Azure limitations and considerations that I have come across while working with Azure. Keep in mind that this list is put together in March of 2011 and Azure is constantly changing.
1. Long running queries or single transactions: Currently Azure will kill any connections with queries that execute over 30 seconds. Since you may share the server with others, Azure has to make sure that your query doesn’t eat up all the resources. This same logic applies to single transactions.
2. Support for SSRS: Currently there is no support for SSRS in Azure, but there is word that it is coming soon.
3. Database backups: Currently there is no support for database backups, but there are work arounds that allow you to backup to blob storage.
4. Support for A/D (Active Directory): There is now support for Windows Azure Connect (currently in beta) , which provides connectivity between on-premises and Azure resources.
5. Support for FILESTREAM Data type: This data type is currently not supported in SQL Azure. A work around would be to store a path to the blob storage.
6. Database encryption: Database encryption is currently not supported.
7. Database transaction log: There is no way to view transaction logs.
9. SQL Jobs: There is no SQL Agent in SQL Azure. An alternative would be to utilize a Worker Role.