Something that seems to be absent from the otherwise great new features for Windows Azure (announced on June 7th), is the ability to define distributed caches for the reserv
This scenario is not supported as of today by Windows Azure Caching (Preview). Thanks for the feedback. I will take this up to the appropriate folks in our team to consider the same for future releases.
As mentioned by Jason and Win, for now you can use Windows Azure Shared Caching. Though you are right that it is limited in Size and has a quota system.
You sure can create Dedicated Cache for windows Azure websites in reserved mode. As of now you may not be able to find how to create it in Windows Azure June SDK (1.7) however if really want to do it you need to accomplish it manually.
I had some discussion around this and after some digging I found that it can be done by understanding the dedicated cache in Windows Azure Web Role first and the migrating the references & configuration to your ASP.NET Website. Here are some steps you can follow to try it by yourself:
Previously known as the app fabric cache, I think this does what you want?
http://msdn.microsoft.com/en-us/library/windowsazure/hh914133.aspx
http://msdn.microsoft.com/en-us/magazine/gg983488.aspx