After some more reading starting here I added a counter to the onRun so I could see if log entries were getting dropped (my gut feel was correct, they were)

public override void Run()
{
int index = 0;
Microsoft.Practices.EnterpriseLibrary.Logging.Logger.Write("Run Start " + DateTime.UtcNow.ToLongTimeString());

while (true)
{
Microsoft.Practices.EnterpriseLibrary.Logging.Logger.Write(“Run Loop ” + index.ToString() + ” ” + DateTime.UtcNow.ToLongTimeString());
index++;
Thread.Sleep(10000);
}
}

So after some trial and error I settled on this initialisation approach as the most robust

public override bool OnStart()
{
CloudStorageAccount.SetConfigurationSettingPublisher((configName, configSetter) =>
{
configSetter(RoleEnvironment.GetConfigurationSettingValue(configName));
});
CloudStorageAccount storageAccount = CloudStorageAccount.Parse(RoleEnvironment.GetConfigurationSettingValue(“Microsoft.WindowsAzure.Plugins.Diagnostics.ConnectionString”));
RoleInstanceDiagnosticManager roleInstanceDiagnosticManager = storageAccount.CreateRoleInstanceDiagnosticManager(RoleEnvironment.DeploymentId, RoleEnvironment.CurrentRoleInstance.Role.Name, RoleEnvironment.CurrentRoleInstance.Id);

var configuration = roleInstanceDiagnosticManager.GetCurrentConfiguration();
configuration.Logs.BufferQuotaInMB = 4;
configuration.Logs.ScheduledTransferPeriod = TimeSpan.FromMinutes(1);
configuration.Logs.ScheduledTransferLogLevelFilter = LogLevel.Verbose;

roleInstanceDiagnosticManager.SetCurrentConfiguration(configuration);

EnterpriseLibraryContainer.Current = EnterpriseLibraryContainer.CreateDefaultContainer(new FileConfigurationSource(“web.config”, false));

Microsoft.Practices.EnterpriseLibrary.Logging.Logger.Write(“OnStart ” + DateTime.UtcNow.ToLongTimeString());

return base.OnStart();
}
This sample application seems to work and reliably log all the information I expect to the trace logs.