I started programming on mainframes and all of us would have thoughts these mainframes would be gone by now. Today, mainframes are still around as well as many Windows XPs, Excel 2003s and many more Reporting Services 2008s out there. Doors aren't shut for these tools to talk to federations in SQL Azure. As long as you can get to a regular SQL Azure database with one of these legacy tools, you can connect to any of the federation members as well. Your tool does not even have to even know to issue a USE FEDERATION statement. You can connect to members without USE FEDERATION as well. Here is how;
This legacy connection mode is very useful for tools like bcp.exe, reporting services (SSRS), integration services (SSIS), analyses services (SSAS) or Office tools like Excel or Access. None of them need to natively understand federations to get to data in a member.
Obviously, future looks much better and eventually you won’t have to jump through these steps but 8 weeks into shipping federations, if you are thinking about all the existing systems you have surrounding your data, this backdoor connection through the database name to members will save the day!