I tested the Azure Storage plugin on WP 3.2.1. I think that the plugin does not work with this version. When I press the Media upload button, the plugin specific upload pop-up isn't called. Instead of that the normal upload process is used. The file is by consequence not persisted.
Note that it seems to be fine when I am in a post and use the little button 'Azure'.
Is there anybody who tested this before? I know it works with earlier version (3.1.x).