I would imagine this is because the overhead in working out when to recompute indexes on the views would be considerable and complicated (it already is just with normal databases).
It's a terrible pity because I'd love to use SQL Azure for data warehouse storage and take advantage of ROLAP aggregations (which are indexed views). Federation is a perfect fit for us being able to scale out our data too - too bad eh.
I agree - this feature would make SQL Azure a serious contender for highly scalable data warehousing in the cloud. I suppose it still is if you are only using MOLAP or ROLAP without aggregations, but for us, we definitely need indexed views for aggregations.
The sad part will be that we are probably edge cases and this feature will never be important enough for Microsoft to spend the time implementing.