If โdangerousโ means that in certain situations the use of the session will not work, then you are right to use Azure to host the cloud application. Then it depends on the number of instances you run.
If you use only one instance, you can use Session (which lives in memory on the instance) without changing anything. But if you use more than one instance (requests are load balanced and each request can be processed in another instance) in memory, the Session will not work out of the box. To solve this problem, you can use 3 different ways to store the session.
See this question for more information: ASP.NET Session State Provider in Azure
nickvane
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