The 0.2.1 version of msnodesql does not work with Node.js 0.8.4 which is the version installed on Azure Web Roles (it works for instance wihh 0.8.21). So if you develop an application locally on some version of 0.8 (probably one of the newest) and then want to deploy it to Azure Web Role, it will not work.
Please make msnodesql compatible with Azure Web Roles.
This really is quite a critical issue. I though I would be able to use custom Node.js version on Azure Web Role but that doesn't seem to be possible (I can only choose from three preselected versions, only one of which is 0.8.x, as far as I can see).
EDIT: there is a way to deploy custom version of Node.js to Azure Cloud Service but still, msnodesql should IMO work with the officially supported Azure Node version without any issues.
As a workaround you could try azure-node-tuneup: https://github.com/glennblock/azure-node-tuneup
That works for Azure Websites, not Cloud Services.