Some of the Azure developers/administrator often misunderstand “Linking a resource” to a cloud service. Many times I see people asking, I have linked a SQL Azure DB/Storage to my cloud service, still my data is not getting transferred. Most of you already know what really linking resources mean, but still I felt like giving this quick explanation for the benefits of all.
Linking a resource does not mean that your Cloud Service is connected to that resource (SQL Azure DB, Storage etc.). It simply means that now you can monitor the resource and the Cloud Service together in an easier way.
This does not mean that your Cloud Service will be able to interact with the resource. Weather you Link the resource or not, you must write the code in your Cloud Service application to interact with the resource.
The same explanation is provided right on the Azure Portal
(Azure Portal –> Select the Service in question –> Linked Resources – > click on the Question Mark “?”)
To show your cloud service's dependencies on other resources, you can link Windows Azure SQL Database instances and storage accounts to the cloud service and monitor their usage on the cloud service dashboard. (To see Total Requests for a linked storage account, you must turn on monitoring for it.)
You can scale a linked SQL Database instance along with cloud service roles on the Scale page.
You also can monitor, manage, and scale the database in SQL Databases. Get started using SQL Database
"Linking" a resource doesn't connect your app to the resource. You must add connection strings to your code. Unlinking a resource doesn't affect the resource or the connections.
Hope this help!