Feature/Application:
Azure is an Internet-scale computing and services platform hosted in data centers managed or supported by Microsoft. It includes many separate features with corresponding developer services which can be used individually or together. Windows Azure provides site to site VPN connectivity between on-premises networks and virtual networks hosted in the cloud.
Windows Azure supports Static and Dynamic Routing VPNs.
That is to say SonicWall is compatible with Windows Azure in both of policy-based and route-based VPN.
What is referred to as Dynamic Routing over VPN in SonicWall (OSPF etc.) is not supported in Azure.