In Windows Azure we can consider two types of multicast communication:

Application/Service level Multicast Messaging between multiple roles:
Multicast Messaging between multiple roles which is Inter-Role communication between multiple role facilitated through Service Bus and described below:



Socket level Multicast UDP communication support between role instance:
This functionality is not available in Windows Azure as UDP is still not supported in between role. You can still request to Windows Azure team to have UDP supported at socket level below: