As you mentioned that a problem arose with your work role during the load test, you can safely assume that the Role worked fine. This leads to the conclusion that the problem is more specific to the application than any particular platform. There are two ways to get diagnostic information from your Windows Azure VM:
Option 1 (preferred option). To check what is happening on your Azure VM, you really need to add Windows Azure Diagnostics with your role so that you can get the performance counter, memory information, process status, and other data moved from Azure VM to your Azure Storage, which you can analyze offline.
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