I can see that these various modes are supported. I am not sure how the credentials would get uploaded. The same situation occurs for any cloud server Azure, Amazon, Google. etc. All need some form of credentials.
Actually the most convenient way to publish to Azure is Git. Please check this blog post by our technical evangelist Maarten Balliauw: http://blog.maartenballiauw.be/post/2012/12/28/Windows-Azure-Websites-and-PHPStorm.aspx - it's pretty simple to deploy to the Azure instance right from the IDE.
I tried to follow along but got to one of the first steps and I clicked on 'Test' in the Clone Repository button and it never returned. Constant mesage box with a bouncing progress bar. If I interrupt this process by clicking on 'Cancel' then I get a red failure button and the 'Clone' button is disabled. I was using the 'GIT CLONE URL' from the Management Portal.