This needs to be addressed in documentation and also clarified in the actual configuration files.

For the Umbraco rapid deployment release, the ServiceConfiguration.cscfg file contains a new ConfigurationSetting named "DatabaseConnectionString". The DatabaseConnnectionString needs to include valid SQL Azure administrator credentials in order to provision the new SQL Azure database. (Or have sufficient permissions to create a database, user accounts, and set security and login rights. A valid SQL Azure connection should be similar to:

<Setting name="DatabaseConnectionString" 
         value="Server=tcp:???.database.windows.net;Database=umbraco;User ID=???@???;Password=???;Trusted_Connection=False;Encrypt=True;" />

SERVER: Full and complete SQL server name. When connecting to SQL Azure this field should always be prepended with tcp: and end with the database.windows.net. An example of a SQL Azure value: tcp:azureserver.database.windows.net.

DATABASE: Name of the database on the SQL server where the application schema has been deployed (or will be deployed during the initial setup). A common choice would be 'umbraco' or a 'customer-name-umbraco' when provisioning customer sites using the scripts.

USER ID, PASSWORD: User account (and password) with access to SQL. When connecting to SQL azure this field must always include @servername following the user login name. An example of a SQL Azure user id value: slalomadmin@azureserver.
ENCRYPT, TRUSTED_CONNECTION: Do not update these two settings.

NOTE 1:

SQL Azure's default firewall settings will block all external networks from access.  This includes
other Windows Azure services (even in the same datacenter).  Verify or grant other Windows Azure services 
and any on-premise system's which require connectivity access by creating the required rules. -->

NOTE 2:

 The connection string in the ServiceConfiguration.cscfg will be used to update the web.config of the site
 hosted on the clouddrive (VHD) each time the role is redeployed.  The database connection string can be
 updated at any time.

NOTE 3:

 Run the RemoveUmbraco.bat scripts if you wish to restart the deployment process.  But be warned, this will
 delete both the SQL schema and database as definited in the above ServiceConfiguration.cscfg file's 
 DatabaseConnectionString value.