We are running a WCF service hosted in Windows Azure and try perform POST requests from a website hosted elsewhere but this has proven to be really tricky. Apparently it seems to be REALLY difficult to allow the OPTIONS preflight request before the actual POST request in iis7 side.
Even though we have in our web.config
<add name="Access-Control-Allow-Origin" value="*" />
<add name="Access-Control-Allow-Headers" value="Origin,X-Requested-With,Content-Type,Accept" />
<add name="Access-Control-Allow-Methods" value="POST,GET,OPTIONS"/>
<add verb="OPTIONS" allowed="true" />
Check out this thread. I think WebDAV is installed on the Web Roles (cannot confirm it though). You have to RDP to the web role instance and check if this is the situation. If it is, you will need to create startup task to remove the WebDAV.
It appears that these things must be configured at Application Host config level, not allowed at web.config level.