I have version 1.6 of the Windows Azure Integration Components installed on Windows 2008 R2 Enterprise VM.
First, I have not been able to get the role adapter to even start-up using the LocalService account as prescribed in the walkthrough. It seems that even accessing RoleEnvironment.IsAvailable will case this error:
Service cannot be started. System.UnauthorizedAccessException: Attempted to perform an unauthorized operation.
at Microsoft.WindowsAzure.ServiceRuntime.RoleEnvironment.Initialize(TimeSpan timeout)
at VMRoleAdapter.RoleAdapter.OnStart(String args)
at System.ServiceProcess.ServiceBase.ServiceQueuedMainCallback(Object state)
I can get the service to at least start up by running under LocalSystem.
However, when it gets to the call CloudDrive.InitializeCache(), the adapter crashes.
It seems you're not using 1.6 SDK? If you use Reflector to open the 1.6 SDK's Microsoft.WindowsAzure.ServiceRuntime.dll you'll see the callstack is impossible to be what you've seen. Please check that and try the latest SDK to see whether it works.