I too am interested in this.
I was able to get the connector installed in an Azure VM. It was a small challenge though.. I had to use the server manager to add roles for .net 4.5 framework and Windows Indentity Foundation. Then I had to go download and copy/install some of the other dependencies manually (can't remember exactly which ones).
After all that work... I got it installed and able to run.
Unfortunately in teh configuration process, something is blocking or preventing the Router from connecting to the CRM Online instance and "loading the data."
I installed it on my computer and it worked immediately so I know the discover URL is correct. I am unsure of how to obtain the trace/error log files from the Router Configure application.
Essentially, I've given up hope that it's possible.