Now we have an option of connecting to sql azure from Office 2013 Excel sheet.We can use Power Query or Power Pivot to create models in excel but if we can have an option to connect sql azure from PO...
As you point out, currently you can use Power Query or the Power BI Designer to author reports based on SQL Azure data sources. You can then publish these reports to the Power BI Service and refresh them, create dashboards on top, etc. We're considering improving this in the future to also enable "live connections" to the data source, without the need to import data from them as happens today.
