ExpertPdf works on Windows Azure only if it is used in a virtual machine or a cloud service. Due to some security restrictions, ExpertPdf does not work on Microsoft Azure if the web site execution mode is used.
Later update: Starting with v12.2 ExpertPdf added a new rendering engine called WebKit2 that works on Microsoft Azure.
You can read more details about Windows Azure execution models here:
If you need to convert from html to pdf in a website hosted on Windows Azure, run your website using a virtual machine or cloud service execution model that offer more flexibility than the simple web site execution model.