As you may very well know, Windows Azure Web Role and Worker Role can have only HTTP/HTTPS/TCP type of end points that’s means you can use Web and Worker Role for UDP Traffic.
<InputEndpoint name="<input-endpoint-name>" protocol="[http|https|tcp]" port="<port-number>" />
What if you would want UDP traffic in Windows Azure?
Your answer is Windows Azure VM Role & Windows Azure Connect.
For example, Windows Azure VM Role with Windows Azure Connect, can be used to create a forest of Game Servers to facilitate UDP communication.
Will Connect support UDP between roles within data center?