When I "publish" a web role through Visual Studio, diagnostics gets enabled. If I upload a .cspkg file through the portal, diagnostics is not enabled.
Is there something else you need to do to get diagnostics turned on when uploading a file outside of VS?
If you are on 2.5 you will need to enable the diagnostics your self
here is a link to an msdn blog that describes how (using powershell)
http://blogs.msdn.com/b/kwill/archive/2014/12/02/windows-azure-diagnostics-upgrading-from-azure-sdk-2-4-to-azure-sdk-2-5.aspx
You need to scroll to the section on "Enabling diagnostics extension through PowerShell"