hi Serge,
Last I heard (about 2 years back) was that SQL Azure now supports spatial data types, I am looking in online documentation for sql azure data type support and spatial data type supported comes up as geometry and geography (pretty much covers entire spatial
data)
http://msdn.microsoft.com/en-us/library/windowsazure/ee336233.aspx
I recommend eliminating compatibility issue going to management portal and use the sql editor there and create the table by writing script manually "create table sql statement" and create a dummy table with a spatial data type and see if that works for you..
coz then it must be the script you are running might have issue.... or else you will find out if there is a compatibility issue with sql azure and spatial data type (i doubt it will be a spatial data type support issue)
let us know how it goes
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