Quiet an adventure as with all IT related things: SQL Azure is almost like SQL Server. Emphasis on the almost. But after a little fighting I got it running. Time will tell us how well it is going to run.

My tip to all is to have a deployment script that only contains what you realy need and not a generated ones that specifies each and every default option. Why: SQL Azure does not know many of the default options and therefore the script fails in that case.