These key Azure assemblies are not part of the .NET Framework - why they are not in the GAC. Perhaps in the future they will be added to the .NET Framework.
Azure is not intended to run only .NET code. People use it for other platforms like Java, PHP, node.js, python, etc. It would not make sense to add assemblies that are specific to the implementation of .NET Azure in instances of the VM role.
Yes - it was also a nuisance when I first started working on Azure, but the same is true if you published it locally on a machine without the Azure SDK.
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