At the MSDN website it says, "Connecting to SQL Azure by using OLE DB is not supported."
There are other places on the web where folks report that it works fine for them after tweaking the server name in the connection string, such as here and here. Even SQL Server's Analysis Services uses OLE DB to connect to SQL Azure!
I develop a native/unmanaged application in Delphi that connects to SQL Server using ADO through the OLE DB provider for SQL Server. I'm considering adding SQL Azure support. It would be really helpful if I could reuse the majority of my code without not too much change. I probably wouldn't consider going this direction otherwise.
It would be helpful if Microsoft were more clear on why "OLE DB is not supported". If there are certain limitations within the use of OLE DB, what are they? Maybe I can work around them, or maybe it wouldn't affect me.
Microsoft also mentions that ODBC is supported. So could I use the "OLE DB provider to ODBC" and connect this way? Or is any combination that includes OLE DB "not supported"?