<dataCacheClient name="default">
      <hosts>
        <host name="***.cache.windows.net" cachePort="22233" />
      </hosts>
      <securityProperties mode="Message">
        <messageSecurity authorizationInfo="***"></messageSecurity>
      </securityProperties>
    </dataCacheClient>

 

And it's in my web.config of a WCF Cloud Service Project that is successfully hosted in Azure and working with the cache.  I have also debugged locally this project and stepped over the lines that read and write to the cache and it is working as expected.