What is the difference between the "WCF service hosted on Azure" (the one that fails) and the "simple WCF service web role" (the one that works)?
You say you use the same code but I don't understand the difference between the two?
Was it a simplified test service that worked or the same service in a different setup?
Since your using BasicHttpBinding
Fiddler probably can give you a lot of insight in the network traffic that both silverlight and excel cause in your tests, you might be able to compare and find the source of your issues.
Off topic:Using REST API's (like the MVC Web Api), in my experience, can make scenario's like these a lot less tedious, you can end up with VBA code like:
Dim zipResult As New MSXML2.DOMDocument
Dim zipService As New MSXML2.XMLHTTP
zipService.Open "GET", "http://webservicex.net/uszip.asmx/GetInfoByZIP?USZip=" + zip, False
It is recommended to use .NET (VSTO). If you have the same problem with VSTO clients, then the problem may be on the service side, so feel free to continue the discussion. But if the problem only happens with VBA, you can consult a VBA forum: