Thank you for your feedback. We are currently in public preview of static website hosting for Azure Storage to enable this scenario. Check out the blog post here for more details: https://azure.microsoft.com/en-us/blog/azure-storage-static-web-hosting-public-preview. The feature set includes support for default documents and custom error documents for HTTP status code 404.
For any further questions, or to discuss your specific scenario, send us an email at email@example.com.Michael Khalili commented
Right now the system sends xml to the user if a file isn't found. This isn't very friendly to someone browsing from the web. I would like to have a redirect to a custom url for 404 errors instead of xml.
I can see the need for the xml when using the API so perhaps the redirect can be turned off when making the API calls.
This is also important so I can track when files are missing.
Windows Azure Websites offers the ability to have smaller deployed websites. The ability to have multiple roles on a single VM instance is still in planning.