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When you install AMD APP SDK you should be able to use CPU device.
AMD APP SDK can be installed on machines which do not have GPU or any accelerators. AMD APP SDK installs the OpenCL runtimes and in such cases the OpenCL runtime simulates OpenCL acceleration on the CPU itself. So whether it is a VMware hypervisor or an Azure based VM. For AMD APP SDK they are all the same and will fallback to the CPU.
Just make sure that your virtual machines have the 32-bit Microsoft Visual Studio 2012 redistributable installed. You can download the redistributable from: Download Visual C++ Redistributable for Visual Studio 2012 Update 4 from Official Microsoft Download Center