Hello,
Running scripts generated from SQL Server Management Studio to recreate a schema for a SQL Azure database usually throws errors given the different nature of these environments. (Note: SQL Azure is currently more restrictive than SQL Server On-Premise installations.)
I’ve found that a reliable way to create scripts for SQL Azure is to use Microsoft SQL Server Management Studio ensuring that I select Azure for the database engine type option as shown in the below image.

(Note: SQL Server 2008 R2 is required to be able to select the SQL Azure database engine type.)
The steps are shown below for those who require the full steps to execute a generate script from SQL Server Management Studio.
Note: If you need a copy of Microsoft SQL Server 2008 R2, you can find it here: http://www.microsoft.com/download/en/details.aspx?id=22985
First, connect to the database you wish to work with in SQL Server Management Studio. Then, right click on the database and select Tasks -> Generate Scripts
The steps above are shown in the images below.


Click Next, then select the objects you wish script.
The steps above are shown in the image below.

Select a file name to write the script to (for example: c:\users\washington\documents\script.sql), then click on the advanced button. Next, find the Script for the database engine type option and select SQL Azure Database from the dropdown. Click Ok to return to the previous screen.
Note: There are some useful options in this section, such as Script DROP and CREATE.
The steps above are shown in the image below.

Click Next, to review your selections, then click Next.
The steps above are shown in the image below.

Finally, click finish when the script has been created.
The step above is shown in the image below.

- Washington Leon-Jordan