riversoft - Your approach would depend on a number of different factors.  For example, the desktops connection (hard-wired or wireless), connection speed, what function is the desktop application performing, and a number of other factors.  I say from an administrative perspective that I've had no issues performing tasks on my SQL Azure databases remotely via Powershell and SSMS.  My suggestion would be to test your application's performance (creating benchmarks and user tests) before you deploy to production.