New features have been added to the Windows Azure SQL database through service updates.
Microsoft has deployed service updates to Windows Azure SQL Database that add new features. The database now has support for linked server and distributed queries against the database, and you can now use recursive triggers. On the admin side, DBCC SHOW_STATISTICS is now supported, and you can configure firewall rules at the database level.
The support for linked server and distributed queries means you can add an Azure database as a linked server then use it as a data source for linked queries that take data from both local on-premises and cloud data. Until now you if you wanted to write a query like this you had to use the ODBC-to-OLEDB proxy, which was “not recommended for performance reasons” (to put it mildly).
The changes to the firewall add more granular control; until now you could only set Azure firewall rules at the server level, but the changes allow you to set the rules at database level using either the management portal or T-SQL, and have different rules for different databases hosted on the same logical SQL Database server.