Typically, access to Azure workers is done via endpoints that are defined in the service definition. These endpoints, which must be TCP or HTTP(S), are passed through a load balancer and then connected to the actual IP/port of the Azure machines.
My application would benefit dramatically from the use of UDP, as I'm connecting from cellular devices where bytes are counted for billing and the overhead of SYN/ACK/FIN dwarfs the 8 byte packets I'm sending. I've even considered putting my data directly into ICMP message headers. However, none of this is supported by the load balancer.
I know that you can enable ping on Azure virtual machines and then ping them -- http://weblogs.thinktecture.com/cweyer/2010/12/enabling-ping-aka-icmp-on-windows-azure-roles.html.
Is there anything preventing me from using a TCP-based service (exposed through the load balancer) that would simply hand out an IP address and port of an Azure VM address, and then have the application communicate directly to that worker? (I'll have to handle load balancing myself.) If the worker gets shut down or moved, my application will be smart enough to reconnect to the TCP endpoint and ask for a new place to send data.
Does this concept work, or is there something in place to prevent this sort of direct access?