I was notified that SMOscript fails to generate scripts for SQL Azure databases, see SO here and here.
The reported error message is
Objects in database [DatabaseName] on server [ServerAddress]:
Error:
Index was outside the bounds of the array.
I found reports about SMO access failing on SQL Azure, but I do not have confirmed information whether SP1 of 2008R2 or this Azure SR fix the problem.
If you have information on how to solve this problem, please leave a comment here or answer on SO. Thanks.