Yes, Azure does not support CLR yet. But SQL Azure has a 3-month development process and every 3 month (as far as i know) they releasing most popular features (as i understand, they choose most popular features from the site above).
So vote for features and maybe they will release it on their next iteration.
In fact, Windows Azure Compute gives you private VMs but SQL Azure runs in independent boxes (not inside your VMs).
SQL Azure it's a service that you can use and not a service that runs inside your VM's.
Windows Azure Compute VM's are considered statless because if there was a problem with one VM, Azure will fire up another instance and all data in the first VM will be lost. In fact you can install SQL Azure Express in the VM but you can also lose that data
at anytime. The workaround could be the use of Windows Azure Drive but... could be some issues regarding performance or costs... SQL Azure is the recommended way to go...
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