For SQL Azure, you need to create the foreign key constraint afterwards. I would also recommend you to submit a feedback to the Microsoft Connect at this link
https://connect.microsoft.com/SQLServer/Feedback. This connect site will serve as a connecting point between you and Microsoft, and ultimately the large community for you and Microsoft to interact
with. Your feedback enables Microsoft to offer the best software and deliver superior services; meanwhile you can learn more about and contribute to the exciting projects on Microsoft Connect.
Please remember to click "Mark as Answer" on the post that helps you, and to click "Unmark as Answer" if a marked post does not actually answer your question. This can be beneficial to other community members reading the thread.