The default membership scripts won't work on Azure as people have noted due to the references to internal sql stored procedures and schema tables that do not exist in a Azure sql database.
An updated version of the asp.net membership scripts for Azure can be found here http://lluisfranco.com/2011/05/18/using-asp-net-membership-in-sql-azure/. You would have to swap out the BugNET versions of these scripts with the modified ones.
Even then YMMV with regards to getting it to work.
Comments: I will update the scripts going forward to be azure compatible
An updated version of the asp.net membership scripts for Azure can be found here http://lluisfranco.com/2011/05/18/using-asp-net-membership-in-sql-azure/. You would have to swap out the BugNET versions of these scripts with the modified ones.
Even then YMMV with regards to getting it to work.
Comments: I will update the scripts going forward to be azure compatible