The general rule is to install third-party software as a Web or Worker along with your web application if you want to:
- You can install via MSI or some other mechanism that does not require manual intervention.
- Installation time is relatively fast (possibly no more than 5 minutes).
- Installation is reliable
If any of these options is not possible, you need to switch to the VM role to preinstall the application.
As for managing the application through the command line: as long as you can make calls on the command line through your application, you are fine. If you need to enter commands into the console, then this is not practical in Windows Azure, if you cannot connect to the console remotely. Unaware of Burning Glass, I don't know if this can be done.
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