By default, Ping, tracert are disabled in Windows Azure VM. There are a few posts over the Internet on how to enable Ping by configuring Firewall rules on your VM and/or EndPoint configuration.
The simpler way to test connectivity to your VM is to use tcping.exe
http://www.elifulkerson.com/projects/tcping.php
tcping.exe is a small console application that operates similarly to 'ping', however it works over a tcp port.
Example Output:Here is the Ping to my Azure VM (from Vietnam to VM hosted in East Asia Region)
D:\tcping-devel>tcping www.reddit.com
Probing 72.14.204.104:80/tcp - Port is open - time=23.285ms
Probing 72.14.204.104:80/tcp - Port is open - time=21.651ms
Probing 72.14.204.104:80/tcp - Port is open - time=21.899ms
Probing 72.14.204.104:80/tcp - Port is open - time=21.789ms
Ping statistics for 72.14.204.104:80
4 probes sent.
4 successful, 0 failed.
Approximate trip times in milli-seconds:
Minimum = 21.651ms, Maximum = 23.285ms, Average = 22.156ms
D:\MyPrograms\Apps>tcping hostname.cloudapp.net 3389
Probing 168.33.150.175:3389/tcp - Port is open - time=66.740ms
Probing 168.33.150.175:3389/tcp - Port is open - time=64.787ms
Probing 168.33.150.175:3389/tcp - Port is open - time=65.805ms
Probing 168.33.150.175:3389/tcp - Port is open - time=69.730ms
Ping statistics for 168.33.250.175:3389
4 probes sent.
4 successful, 0 failed.
Approximate trip times in milli-seconds:
Minimum = 64.787ms, Maximum = 69.730ms, Average = 66.765ms