I’ve a single Web Role Cloud Service instance running the South East Asia, with a SQL Azure Database running in the same region. I am hitting a firewall issue and the connection is blocked unless I add the Cloud Services public virtual IP to the SQL server firewall.
From everything I’ve read, if the two systems are in the same region, and ‘Allowed Windows Azure Services’ is enabled (which adds 0.0.0.0 to the firewall), then the two should be able to communicate internally?
I have some concerns about things being routed inappropriately (is data going outside the network / am I being charged for it), and having to reconfigure the firewall should the VIP change.
Is there some other address I am supposed to access the SQL azure instance by (currently hitting blah.database.windows.net)?
Your understanding is correct. If I were you I would open a support ticket with Microsoft; I have heard of this issue before, although I never experienced it myself. This sounds like an issue, so report it and watch your next invoice carefully.