Provide native security services in AppFabric such as XML firewalling (structure, grammar, semantics, algorithms, injections, etc), similarly like other XML virtual appliances .
Ideally, it would great if interception can be implemented between client and the end service by calling Worker / Web Role on Azure to perform this functionality (an possibly policy enforcement) – Customer may or may not to choose to deploy this solution at their own cost. The firewall can be reference implementation on codeplex and / or fully managed service provided by Microsoft.