I have just plugged in application insights into my azure web role which is using simple data.
In the exception view in Application Insight I am seeing exception's occurring for every database call for both UseSharedConnection and StopUsingSharedConnection One thing to note is the query is being completed successfully.
I can see that in the help at http://simplefx.org/simpledata/docs/pages/Start/SharingAConnection.html it says this is only supported in ADO Adapter only.
My repository code looks like this
My Connection String is in the format following.
Server=tcp:.database.windows.net,1433;Database=;User ID=@;Password=;Trusted_Connection=False;Encrypt=True;Connection Timeout=30;