Azure specifies the connection string as: connectionString="Data Source=tcp:aaaaaaaaa.database.windows.net,1433;Initial Catalog=nnet;User Id=xxxx@yyyyyy;Password=zzzzzzzz;" so the DO connection string should be
connectionUrl="sqlserver://xxxx@yyyyyy:zzzzzzzz@aaaaaaaaa.database.windows.net/nnet"

this fails with:

2014 02 25 20:17:02 Error NNet.Desktop - Error building DO4 Database : "sqlserver://xxxx@yyyyyy:zzzzzzzz@aaaaaaaaa.database.windows.net/nnet" is invalid URL. Parameter name: url at Xtensive.Orm.UrlInfo.Parse(String url, UrlInfo info) at Xtensive.Orm.Configuration.ConnectionInfoParser.GetConnectionInfo(String connectionUrl, String provider, String connectionString) at Xtensive.Orm.Configuration.Elements.DomainConfigurationElement.ToNative() at Xtensive.Orm.Configuration.DomainConfiguration.Load(String sectionName, String name) at Xtensive.Orm.Configuration.DomainConfiguration.Load(String name) at NNet.Model.DO.DomainBuilder.Build() in c:\a\src\NNet.Model\Do\DomainBuilder.cs:line 23

I suspect that you parser is failing due to the @ in the user name, unfortunately you can not change this with an azure database. Note : I have changed the usernames, passwords etc.