We have a Web Role that we are hosting in Windows Azure that uses an old ASMX based Web Reference to contact an external system. The Web Reference proxy code is big enough
Since the only purpose of a VM hosting a Web Role on Windows Azure is to answer web requests, I would suppose such to sort of tuning to be the responsibility of the Cloud OS, not the Cloud App. That being said, it might interesting to check whether the Azure Cloud OS is indeed making such a tuning available by default.