Update1: Virtual Machines has reached GA on April, 16th 2013.
After deleting a Windows Azure Virtual Machine you try to delete the blobs for the associated VHDs and receive the message below:
"There is currently a lease on the blob and no lease ID was specified in the request."
When you delete a Virtual Machine on the Management Portal, the "Disk" resource used to mount the Virtual Machines VHD is kept.
The "Disk" resource is responsible for mounting the blob for the VHD file, so it can be attached to virtual machines as an OS Disk or Data Disk. It will continue to hold a lease on the blob for as long as it exists.
You need to delete the "Disk" resource to break the lease on the blob.
All Disks resources are found on the Management Portal under: Virtual Machines -> Disks
To delete the Disk resource follow the steps below:
How to Attach a Data Disk to a Virtual MachineHow to Detach a Data Disk from a Virtual Machine
Hope it helps.
Flavio MuratoreSr. Support Escalation EngineerWindows Azure Technical Support