If you liked this video you should check out http://channel9.msdn.com/azure/. We're trying to be very clear and consise about the whole Windows Azure platform. For example, I highly recommend you check out Ryan Dunn's What is Windows Azure? video.
.NET Services is designed to make connectivity a lot simpler but not at the expense of security. Administrators can control what goes through (as you've found out!). As far as accessing machines goes, I think .NET Services is cooler than Live Mesh. You can create full-fidelity, bi-directional socket connections over the Service Bus. This means you can do things like remote connections (RDP), sql management, SSH, SNMP, and so on, between any two machines across all kinds of networking infrastructure. Once developers understand what it does they get incredibly excited. The potential is enormous.
Where are we now? We're going live at PDC in November!