We have an API hosted on Windows Azure in a web role with 2 instances that takes in requests, validates them then adds them to an Azure Service Bus Queue.
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From a connection management perspective, following may be helpful:
1) A single connection is created for a MessagingFactory instance
2) You can create as many QueueClient instances from a single MessagingFactory but they will all use the same actual underlying TCP connection, so consider throughput and availability here because more connections can help
3) We will reconnect the underlying connection for a MessagingFactory in case it is dropped
4) From a QueueClient perspective you are creating connections to a particular Queue, consider these links (several of these can exist over a single MessagingFactory connection). Again if the connection is dropped it will be recreated and so will be the links for the Queues, you do not need to recreate the objects
5) The Quota of 100 concurrent connections is imposed on a per Queue basis so essentially you can have up to 100 links to a single Queue
6) These are not impacted by how many MessagingFactory instances you create these links over
7) If you call close/dispose on the MessagingFactory then all the links over that connection will be closed too and will not reconnect