When talking about SQL Azure the common complain I hear is that the script generated from stand-along SQL Server database is not compatible with SQL Azure. This was true for some time for sure but not any more. If you have SQL Server 2008 R2 installed you can follow the guideline below to generate script which is compatible with SQL Azure.
As above images are very clear I will not write more about them. SQL Azure does not support filegroups. Let us generate script for any table created on PRIMARY filegroup for standalong SQL Server and compare it with the script generated for SQL Azure.
You can clearly see that there is no filegroup in the code generated for SQL Azure. Give it a try and please your comment here about what do you think about the same.
Reference: Pinal Dave (http://blog.SQLAuthority.com)