although technically possible, the current way how Azure VM Role works (e.g. no persistence) does not really advocate to use as development workstation - basically everytime you start an new instance it would be fresh out of a sysprep, so it will be blank
beside the data which you stored on the base disk. Also developers will have to connect to a specific instance (or create an own service), and you'll most likely be limited to use a local SQL/Express server in each instance.
If that's what you're looking for anyway, Azure might be a feasible platform, but I'd rather wait for Azure providing IaaS features bringing dedicated instances and persistance, or look for other environments (locally?)
Also, while I'm not an expert on licensing etc, the RDP connection used to be for administrative purposes only and not to be for client/user sessions.