The Service Bus is software that can be installed on Windows or rented on Azure and allows someone to relay SOAP/WCF information over the internet in the form of a XML over HTTPS payload.
One risk that I see is that it essentially allows a user with only outbound HTTP/S access to accept "inbound" WCF calls though the external proxy.
Although this can be helpful to make an application "just work", I would see this as a bad thing from a security perspective. My understanding is that this solution operates by polling an external Microsoft host for incoming data.
Considering that there may be legitmate business reasons for this technology, how will you secure your network from unapproved or malicious use of this relay?