A have an azure webrole with a test page and a service in that role. After publishing the role it doesn\'t start automatically, only at first use. So if the role is shut down fo
A role is typically restarted about once a month, for OS maintenance of either the Guest or the underlying Host OS. What you're more likely to see is AppPool timeout due to inactivity, which will exhibit the same type of initial-hit delay. The default timeout is 20 minutes. You can change the timeout via elevated startup script, with something like:
%windir%\system32\inetsrv\appcmd set config -section:applicationPools -applicationPoolDefaults.processModel.idleTimeout:00:00:00
I discussed this in another SO question as well.