SQL Server features that are not supported by Azure SQL Database

SQL Server is in the Cloud as Windows Azure SQL Database, but in the Cloud, still have some limitations that are not supported and here are some of them (short info):

SQL Server 2008 R2 features that are not supported by Azure SQL Database:

• SQL Server Utility
• Master Data Services

SQL Server 2008 features that are not supported by Azure SQL Database:

• Change Data Capture
• Data Auditing
• Data Compression
• Extended Events
• Filestream Data
• Integrated Full-Text Search
• Policy-Base Management
• Resource Governor
• SQL Server Replication
• Transparent Data Encryption

SQL Server 2005 features that are not supported by Azure SQL Database

• Common Language Runtime (CLR and CLR User-Defined Types)
• Database Mirroring
• Service Broker
• Table Partitioning
• XML Indexing

Other features that are not supported as well:

• Backup and Restore
• Replication
• Extended Store Procedure
• SQL Server Agent

For more information you can check here.