I'm currently researching this functionality for incorporation into a Cloud App to facilitate scaling out of an Azure SQL Database but also importantly to separate the IO/DTU to act as a replacement for File Groups within SQL Server.
At the moment I'm leaning towards a second independent Azure SQL database server for certain tables (writes only) and handling the data separation programmatically within the Application. This will work as there is no logical relationship between the two data-sets referenced by the Application (writes and read/writes) and I don't want reporting (eg. SSRS) on this second data-set (writes) to impact the first (read/writes), in terms of DTU.
But to aid this decision, I cannot find any information regarding the connection between Federated Member table(s) and whether they must reside in the same Azure SQL Database server. I know they must reside in a separate database and it seems implicit that they must be co-hosted by zero mention of anything otherwise, but this also means they'll live under the same DTU restriction (due to billing, etc).
http://msdn.microsoft.com/en-us/library/azure/hh597455.aspx (Managing Azure Federations)
http://msdn.microsoft.com/en-us/library/azure/dn495641.aspx (scaling out Azure SQL Databases).