Bring the VCF from Azure ML to Visual Studio! I said it in the survey too. VCF is very important in some settings. Being able to code R + SQL and have workflow components in the same environment would be a killer feature.
If so, the good news is that you can do that with RTVS, thanks to the R SDK. Basically you create models locally, test/debug them, then zap that onto Azure ML's backend. The SDK itself isn't tied to RTVS in any way. You can use it from RStudio, Jupyter/R, vim, ... if you like.
R SDK: https://cran.r-project.org/web/packages/AzureML/index.html
Regarding your 2nd question - RTVS/SQL integration - yes, that's definitely coming too. For this initial release we just wanted to make sure we got the core IDE functionality right...