You can’t run agented jobs. This is one of the missing T-SQL features that is worth specifically calling out. SQL Agent itself is not supported on SQL Azure, so you cannot run jobs via the agent in the first place. Again, the workaround is to run a full instance of SQL Server in a VM, but that means not having SQL Azure’s inherent fault tolerance and elasticity.
Not having your data hosted locally can be its own bottleneck. The only way to get data to an Azure instance is to upload it or sync it across the network. Make sure your bandwidth can handle it. Most of us are used to this by now, in the age of the cloud, but if you’re used to simply plugging a disk into the server in question and copying files over that way, you’ll want to look into the remote-sync mechanisms available to save yourself some trouble.