I came across a step that is missing from the documentation page for "Deploying Orchard to Windows Azure" and I just wanted to share in case anyone else has run into any issues while deploying to Azure.
The first step lists a number of dlls that need to be set to "Copy Local = true", but there are a couple dlls that are required which are not mentioned in the docs.
In the Orchard.Azure.Web project, you also need to set System.Xml to true. If you don't, the "Media Url" page in the media gallery won't work.
I'm not sure if this was the proper place to bring this up, but I just wanted to share with anyone that was running into trouble.
Here's the Orchard documentation page that I am referring to: