Can I run a sftp service in the cloud, and a sql server syncing with sqlexpress clients over sync framework with wcf? I have really no idea if such a thing is possible with azure? Does azure just work as a normal webservice with sql server behind or..?
The easiest way is to accomplish the sftp portion is via a worker role where you can bind an sftp implementation to a socket endpoint. The sync framework code may make the most sense here as well.
The wcf portion will likely be easier in a webrole.