With the release of Windows Azure Traffic Manager, Windows Azure users, can point their domains such www. companydomain.com to their Azure Traffic Manager policy domain name, such as companydomain.ctp.trafficmgr.com.
Above setting is equivalent to the following DNS record:
www.companydomain.com CNAME companydomain.ctp.trafficmgr.com
So using www record such as www.companydomain.com is fine with everyone (mostly?) as this can be done using CNAME, but now you may want to think why not use companydomain.com? The reason for such CNAME restriction is mainly because of technical reasons, as it is a DNS limitation not an Windows Azure limitation.
Once you have your application hosted in Windows Azure and registered domain name i.e. companydomain.com, you might have expectation with Windows Azure as:
Now the problem here is that above http://companydomain.com configuration won’t work currently because DNS does not allow for a CNAME record to have an empty name. Use of A records is not possible Windows Azure does not guarantee static IP address. An A record can be registered with an empty name, but the consequence of that is that you are then bound to a single IP address, and that then conflicts with how traffic manager works by using DNS redirection to an IP address in an appropriate data center. It is not the client that is wrong here – it is that you cannot combine a www-less domain name AND traffic manager.
There is a DNS service available for Windows Azure called "DNS Azure" that changes your cloudapp's IP address automatically. See dnsazure.com