Hmm... what can I say, sorry, no idea.
Probably even when you will install "naked" Joomla you would get similar problem I guess.
I suggest to check answer on Windows Azure forums.
GK Quickstart do not changes behavior of Joomla back-end, especially core files. So this is not GK fault.
On JoomlaDay about2 years ago I saw presentation about Azure and Joomla, and man from MS said it needs customization in code or such a plugin - I don't remember well.