Just a quick heads up: "Administrator" is not the best user name you could try to use for Windows Azure Remote Desktop connections.
When deploying through Visual Studio the wizard doesn't seem to mind if you set this user name but afterwards connections simply don't work. We then tried to set/change the user name through the Management Portal which hinted that "You need to provide a valid Account Name first" which actually meant that we should choose a proper user name.
(At first we managed to miss that the exception referred to the user name field as account name.)