It appeared that there is a bug in the Windows Azure SDK 1.5, which was released in September after Build Conference. The development team has been working hard to provide a fix for this issue. You can read more about the issue here and here, and download the new update from here (just click “Get Tools and SDK”).
Note, that this is just an update, you do not need to uninstall v.1.5 of the SDK to apply this update. But you’ll have to update the reference to Microsoft.WindowsAzure.StorageClient.dll in all your projects that were upgraded to v.1.5.