The Windows Azure Azure CDN, like any other CDNs, attempts to be a transparent caching layer. The CDN doesn’t care who the referring site might be. Like any other CDN, Windows Azure CDN keep things transparent and have no concern of what the referring site is. So it is correct to say that Windows Azure CDN does not have any dependency on Referrer Header. Any client solution created using referrer header will have no direct impact on how Windows Azure CDN works.
If you try to control CDN access based on be referrer, that may be a good idea because it is very easy to use tools like wget or curl to create a http request which has your referrer URL. Windows Azure CDN does not publicly support any mechanism for authentication or authorization of requests. If a request is received, it’s served. There is no way for Windows Azure CDN to reject requests based on referrer header or on any other header.