I installed SQL Server in Azure Virtual Machine. Open port 1433, create rule in the firewall.
After that, I created Web-role and connect to SQL Server via Azure Connect.
All works. But performance is very bad: ping 500-900 ms between Virtual Machine and Web-role, simple stored procedures worked 5-7 seconds.
SOLUTION
I created virtual netwotk and result is the BEST!
A virtual network should certainly improve performance because you will cut out the latency between the two cloud services (your VM and your Web Role). This will also be more secure.