I want to use WCF + net.MSMQ, I am not interested in Azure Service Bus or Azure queue, those things are way too expensive and do not meet my requirement for setting up a P2P services.
Reliability is not an issue either, the system has a built in mechanism already to check for missing messages - in case of a serious hardware failure.
Given all that if I had a service inside a Web/Worker role with the following line of code, will this work, again reliability of such local storage aside:
MessageQueue.Create(newQueuePath, isTransactional)
Also will the call to the WCF MSMQ service succeed behind the load balancer, from both an external/internal endpoint?
There is currently no MSMQ platform offering from Windows Azure as Azure Storage Queues and Azure Service Bus are deemed to be a replacement.
However, every blog, report, and knowledgeable person is foreboding an inevitable release of IAAS offering from Microsoft "sometime real soon now". When that happens, running products like MSMQ in Azure will be possible.