Using SQL Azure for my DB, everything was apparently ok.
But after some days filling the site, I experienced problems with taxonomies: when deleting or changing values, the database was not perfectly cleaned (found lot of TermPart values with NULL values).
Initially I put the blame on SysCache and disabled the module, but more investigations lead me to the fact that SQL Azure could request some transactions being resent after a special return code, some actions could also be delayed before being applied.
I found this library from GitHub: NHibernate.SQLAzure which deals with this problem for version 3.3.2 of NHibernate, using the dedicated SQL Azure Microsoft Transient Fault Handling library to allow for reliable SQL Azure connections.
According the author it behaves normally when using usual DB, only entering in action when SQL Azure is the DB.
I suggest to test and include it into Orchard distri 1.7 if OK.
Here are the links:
I have created a new provider for this kind of db and changed some pages, but it need some checking...see attached file and http://orchard.codeplex.com/discussions/405128