I just wanted to verify that on the physical machine you are running SQLAzureMW that you also have SQL Server 2008 R2 SP1 bits installed (not just pointing to a remote SQL Server 2008 R2 SP1 instance).
That should be all that is required (SQLAzureMW & SQL Server 2008 R2 SP1). Azure SDK is not required for database migrations.
Another test that you can do is using SQL Server Management Studio (SSMS) (from the machine you are running SQLAzureMW on) connect to your SQL Database (Azure) instance and see if that works. If SSMS works, then SQLAzureMW should work.
Also, is this the first time for both of you to run SQLAzureMW? Or have you been successful before with an older version of SQLAzureMW and it is just v3.9 that is causing an issue?
Last question, is what Azure datacenter are you running against?
If you want, we can connect offline and try to resolve.