The new VMs used by Azure are Server 2012+, and you cannot use the msu installer for WIF (Like you could here: http://blogs.msdn.com/b/sriharsha/archive/2012/04/07/windows-azure-unable-to-find-assembly-microsoft-identitymodel.aspx).

You must use dism to enable the feature.

I assume you are familiar with creating startup tasks – you need to create a batch file that runs:

Dism /online /Enable-Feature /FeatureName:Windows-Identity-Foundation >> "%TEMP%\WifStartupLog.txt" 2>&1

Here is the error you might be searching for:

Could not load file or assembly ‘Microsoft.IdentityModel Version=3.5.0.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35’ or one of its dependencie. The system cannot fine the find specified.