Clustered indexing is now must - why?
Read Inside SQL Azure:


  SQL Azure provides logical databases
  for application data storage. In
  reality, each subscriber’s data is
  actually stored multiple times,
  replicated across three SQL Server
  databases that are distributed across
  three physical servers in a single
  data center. Many subscribers may
  share the same physical database.


Clustered keys are required so that the three replicas of your data can be kept in sync. W/o  a key, is impossible to know which rows were updated. Heaps (tables w/o a clustered index) have only physical 'keys' (fileid:pageid:slot) and since your 3 replicas of the logical database share physical database with other logical databases the physical address on one server has no meaning on the other replicas, hence heaps could not possibly be replicated.