This is not strictly a question, but I figure it'd be useful for anyone trying to install WPMU Dev Dashboard on a Wordpress site installed via the Gallery on Azure Web Sites.
Initially when you install the plugin, it fails citing an inability to connect to the WPMU Dev site.
To fix this:
1) Install the Core Control plugin and activate it (http://wordpress.org/plugins/core-control/)
2) Go to Tools -> Core Control
3) Tick ‘HTTP Access Module 1.0? and click ‘Save Model Choices’
4) At the top of the page under the Core Control title click on ‘External HTTP Access’
5) Under ‘Manage Transports’ find ‘cURL’ and click ‘Disable Transport’
Now you will be able to login to the Dashboard and successfully activate your plugin.
This is essentially the same as the solution described here: http://psvitz.com/error-activating-jetpack-plugin-on-azure/ but as that doesn't specifically mention WPMU Dev's plugin, it wasn't showing up in my initial searches. The link is for citation.