How to set Azure Max Spending Limit or Cost CAP $ amount?

Windows Azure subscription comes with certain capacity depend on subscription type. For example free subscriptions have limited resources and going beyond resources limit the subscription will be disabled. With regular subscription you have limited cores (you can request them to a higher limit) but most of other resources are open for as much as you can use. There are certain limitation on SQL Database, Cache, Services Bus & ACS depend on account limit you have selected.

Currently there is no way you can setup capacity limit on Windows Azure Account. You can not set Windows Azure to use under or equal X amount. About new features and future plans are not something can be discussed in a forum. Such kind of information is made public when it is appropriate to share as if needed. If this is something important for you and you want to be added as feature, you can log your idea here and your voice will be heard.

The subscriptions that support spending limits are listed here. Adding limits to pay-as-you-go subscriptions is planned, but there hasn't been an update for several years.