The MSDN docs contain the list of T-SQL that is either partially supported or not supported.  For example see the following location for CREATE TABLE - http://msdn.microsoft.com/en-us/library/ee336258.aspx

In Elmah‘s case, the filegroup is not supported on ‘create table‘ ddl. 

Use the script below for SQL Azure instead.

/* ------------------------------------------------------------------------
TABLES
------------------------------------------------------------------------ */
IF EXISTS(SELECT * FROM sysobjects WHERE xtype = ‘U‘ AND name = ‘ELMAH_Error‘)
DROP TABLE [dbo].[ELMAH_Error]
GO
CREATE TABLE [dbo].[ELMAH_Error]
(
[ErrorId] UNIQUEIDENTIFIER NOT NULL,
[Application] NVARCHAR(60) COLLATE SQL_Latin1_General_CP1_CI_AS NOT NULL,
[Host] NVARCHAR(50) COLLATE SQL_Latin1_General_CP1_CI_AS NOT NULL,
[Type] NVARCHAR(100) COLLATE SQL_Latin1_General_CP1_CI_AS NOT NULL,
[Source] NVARCHAR(60) COLLATE SQL_Latin1_General_CP1_CI_AS NOT NULL,
[Message] NVARCHAR(500) COLLATE SQL_Latin1_General_CP1_CI_AS NOT NULL,
[User] NVARCHAR(50) COLLATE SQL_Latin1_General_CP1_CI_AS NOT NULL,
[StatusCode] INT NOT NULL,
[TimeUtc] DATETIME NOT NULL,
[Sequence] INT IDENTITY (1, 1) NOT NULL,
[AllXml] NTEXT COLLATE SQL_Latin1_General_CP1_CI_AS NOT NULL
)

GO

ALTER TABLE [dbo].[ELMAH_Error] WITH NOCHECK ADD
CONSTRAINT [PK_ELMAH_Error] PRIMARY KEY ([ErrorId])
GO

ALTER TABLE [dbo].[ELMAH_Error] ADD
CONSTRAINT [DF_ELMAH_Error_ErrorId] DEFAULT (NEWID()) FOR [ErrorId]
GO

CREATE NONCLUSTERED INDEX [IX_ELMAH_Error_App_Time_Seq] ON [dbo].[ELMAH_Error]
(
[Application] ASC,
[TimeUtc] DESC,
[Sequence] DESC
)
GO

/* ------------------------------------------------------------------------
STORED PROCEDURES
------------------------------------------------------------------------ */

SET QUOTED_IDENTIFIER ON
GO
SET ANSI_NULLS ON
GO

IF EXISTS(SELECT * FROM sysobjects WHERE xtype = ‘P‘ AND name = ‘ELMAH_GetErrorXml‘)
DROP PROCEDURE [dbo].[ELMAH_GetErrorXml]
GO
CREATE PROCEDURE [dbo].[ELMAH_GetErrorXml]
(
@Application NVARCHAR(60),
@ErrorId UNIQUEIDENTIFIER
)
AS

SET NOCOUNT ON

SELECT
[AllXml]
FROM
[ELMAH_Error]
WHERE
[ErrorId] = @ErrorId
AND
[Application] = @Application

GO
SET QUOTED_IDENTIFIER OFF
GO
SET ANSI_NULLS ON
GO

SET QUOTED_IDENTIFIER ON
GO
SET ANSI_NULLS ON
GO

IF EXISTS(SELECT * FROM sysobjects WHERE xtype = ‘P‘ AND name = ‘ELMAH_GetErrorsXml‘)
DROP PROCEDURE [dbo].[ELMAH_GetErrorsXml]
GO
CREATE PROCEDURE [dbo].[ELMAH_GetErrorsXml]
(
@Application NVARCHAR(60),
@PageIndex INT = 0,
@PageSize INT = 15,
@TotalCount INT OUTPUT
)
AS

SET NOCOUNT ON

DECLARE @FirstTimeUTC DATETIME
DECLARE @FirstSequence INT
DECLARE @StartRow INT
DECLARE @StartRowIndex INT

SELECT
@TotalCount = COUNT(1)
FROM
[ELMAH_Error]
WHERE
[Application] = @Application

-- Get the ID of the first error for the requested page

SET @StartRowIndex = @PageIndex * @PageSize + 1

IF @StartRowIndex <= @TotalCount
BEGIN

SET ROWCOUNT @StartRowIndex

SELECT
@FirstTimeUTC = [TimeUtc],
@FirstSequence = [Sequence]
FROM
[ELMAH_Error]
WHERE
[Application] = @Application
ORDER BY
[TimeUtc] DESC,
[Sequence] DESC

END
ELSE
BEGIN

SET @PageSize = 0

END

-- Now set the row count to the requested page size and get
-- all records below it for the pertaining application.

SET ROWCOUNT @PageSize

SELECT
errorId = [ErrorId],
application = [Application],
host = [Host],
type = [Type],
source = [Source],
message = [Message],
[user] = [User],
statusCode = [StatusCode],
time = CONVERT(VARCHAR(50), [TimeUtc], 126) + ‘Z‘
FROM
[ELMAH_Error] error
WHERE
[Application] = @Application
AND
[TimeUtc] <= @FirstTimeUTC
AND
[Sequence] <= @FirstSequence
ORDER BY
[TimeUtc] DESC,
[Sequence] DESC
FOR
XML AUTO

GO
SET QUOTED_IDENTIFIER OFF
GO
SET ANSI_NULLS ON
GO

SET QUOTED_IDENTIFIER ON
GO
SET ANSI_NULLS ON
GO

IF EXISTS(SELECT * FROM sysobjects WHERE xtype = ‘P‘ AND name = ‘ELMAH_LogError‘)
DROP PROCEDURE [dbo].[ELMAH_LogError]
GO
CREATE PROCEDURE [dbo].[ELMAH_LogError]
(
@ErrorId UNIQUEIDENTIFIER,
@Application NVARCHAR(60),
@Host NVARCHAR(30),
@Type NVARCHAR(100),
@Source NVARCHAR(60),
@Message NVARCHAR(500),
@User NVARCHAR(50),
@AllXml NTEXT,
@StatusCode INT,
@TimeUtc DATETIME
)
AS

SET NOCOUNT ON

INSERT
INTO
[ELMAH_Error]
(
[ErrorId],
[Application],
[Host],
[Type],
[Source],
[Message],
[User],
[AllXml],
[StatusCode],
[TimeUtc]
)
VALUES
(
@ErrorId,
@Application,
@Host,
@Type,
@Source,
@Message,
@User,
@AllXml,
@StatusCode,
@TimeUtc
)

GO
SET QUOTED_IDENTIFIER OFF
GO
SET ANSI_NULLS ON
GO

Using sql azure for Elmah