I just started playing around with the beta that I downloaded today. The install kit seemed to be very friendly by asking if I wanted a firewall exception. It did create the exception, but only allowed this application:
I couldn't connect remotely, so I added an exception for port 443. And it worked. I'm using the standard Azure IaaS servers with the Windows Firewall turned on.
I'm testing the new Managed API's from Microsoft Azure which they released on Monday, to see if I can call the PI Web API from Azure with just configuration.