We have seen that custom sharding solutions typically lead to better results regarding scalability, flexibility, and performance as compared to Federations. You can find more information about Federations and custom sharding here: http://msdn.microsoft.com/en-us/library/dn495641.aspx. This is part of the reason for the announcement to retire Federations together with the Web and Business Editions in Windows Azure SQL Database.
I would encourage you to look into self-sharding as an alternative. There was good guidance published last year by the CAT team around self-sharding patterns at http://social.technet.microsoft.com/wiki/contents/articles/17987.cloud-service-fundamentals.aspx , and more material like this will be coming shortly.
Feel free to reach out to me to discuss your alternatives for migrating your existing Federations application. I am part of the Azure DB product team and you can reach me at torsteng(at)microsoft.com
Thanks,
Torsten