If you create a new Cloud Service project in Visual Studio but it doesn't contain a Cloud Service project (ccproj), you won't get the Visual Studio integration for building Windows Azure services that you would expect. For example, you won't get debug/run in the Development Fabric, you won't get integration with the Development Storage service, and you won't get publishing support.
The reason is that you have created a Role project, instead of a Cloud Service Project. Today, you can have 0 or 1 Web Roles (which is an ASP.Net Web Application) and 0 or 1 Worker Roles (which is a UI-less .Net application) in each service.
When you create a new Cloud Service project, make sure you are choosing a template from the "Cloud Service" node and not the Roles node in the New Project dialog[…]