Arun Sirpal plays with MAXDOP settings on Azure SQL Database:
Can we change it? No.
EXEC sp_configure 'cost threshold for parallelism', 10; GO RECONFIGURE; GOMsg 2812, Level 16, State 62, Line 9 Could not find stored procedure ‘sp_configure’. Msg 40510, Level 16, State 1, Line 11 Statement ‘CONFIG’ is not supported in this version of SQL Server.
But read on for something you can do.