Attach debugger to all w3wp processes, not just one
A multi-site/application cloud service (several Site or VirtualApplication elements in .csdef) means multiple IIS processes (w3wp.exe). They are typically started on demand which means one is started initially, and others on the first request to that site/application.
When running in the emulator, F5 only attaches the debugger to that first process... but not to the additional ones, as it should.
To debug a multi-site/application webrole correctly (i.e. to have the debugger attached to all appropriate processes), we have to develop a custom VSPackage which pings all URLs to start the additional processes, and then attaches the debugger to them... this shouldn't be needed.