Hello,
 
I created a solution using the regular New Project template (Windows Phone 7 Cloud Application). On the name, I used a dash (as in 'WP7CloudApp-Federated').
 
The web project's name did have a hypen. On the Project Properties window, the Assembly Name contains a hypen as well. However, on the Default Namespace, the hypen (-) is replaced by an underscore (_).
 
The generated DLL (on the file system) then has a When the application is started, then such DLL does have a hypen on the file name, but the Azure project has a reference to the name with the underscore.
 
In my example, this is the final outcome when starting the Azure project:
 
The value of the property 'type' cannot be parsed. The error is: Could not load file or assembly 'WP7CloudApp_Federated.Web' or one of its dependencies. The system cannot find the file specified.