After recreating the azure project step by step all day until I broke it, I have some great assistance which I couldn't find elsewhere online.
For Intellitrace to collect information to provide back to Visual Studio, the apppools that it is using must be set to load user profile. If it does not it will fail to collect any information.
This is the default behavior of Azure, but I have a powershell script that moves all smaller sites in their own app pool to a newly created one. This saves memory for small sites and the powershell creation by default sets this to false.
Hope this saves someone else several days!!