Cool article on how to install Status Monitor on your web role. Don’t forget to install Microsoft.ApplicationInsights.Web NuGet package for your web project.
Now in order to track dependencies on worker roles you need to do the same and one additional step - set environment variables to tell worker role where those new components are:
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More on how to set environment variables for your worker role is here.
Don’t forget to install NuGet package Microsoft.ApplicationInsights.RuntimeTelemetry on your worker role and instantiate TelemetryClient at least once on worker role startup.