it is my understanding that cross-database joins are not supported by sql database (azure); is there any plan to add this support? when?

for example -

select *

from db1.dbo.tbl1 t1

inner join db2.dbo.tbl2 t2

on t1.pk = t2.fk

at this point cross database joins are not supported with sql azure, i know its on the roadmap for the product but do not have a public timeline

your alternatives are following, choose the one that best suits your needs 

Combine your database in SQL Azure
Combine your data in your on premise database & then to data sync to SQL Azure.
You can refer Cross database joins in SQL Azure 

hope that helps