Azure also supports IAM.
Microsoft Azure identity and access management solutions help IT protect access to applications and resources in the enterprise data center and the cloud. This allows for additional levels of verification, such as multi-factor authentication and conditional access policies. Monitoring suspicious activity through advanced security reporting, auditing, and alerting helps mitigate potential security issues.
See this link for more details .
Update:
You have the option of creating Signed Access Signatures for all three Windows Azure Storage services (BLOB, Queues and Tables), as well as for Windows Azure Service Bus firewalls (queues, themes, and subscriptions). I have a similar question with you, maybe you can check.