You might want to take a look at this blog post by Michael S. Collier. Setting up in a cloud project can cause the logs to be in a different place than you would expect from them:
http://michaelcollier.wordpress.com/2012/04/02/where-is-my-windows-azure-diagnostics-data/
Update:
Please note that you need to take care of every little detail for everything to work.
Where do you write Trace.WriteLine("some message"); ? Is this in your WebRole.cs? In this case, you need to set up a trace listener for WebRole.cs (this is done in a different process than your actual web application).
Here is an example of how you can configure the trace listener in the WebRole.cs class:
System.Diagnostics.Trace.Listeners.Add(new Microsoft.WindowsAzure.Diagnostics.DiagnosticMonitorTraceListener()); System.Diagnostics.Trace.AutoFlush = true;
After setting this parameter, you can use Trace.WriteLine .
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