Long http sessions between two machines work fine in physcial servers but do not work on azure virtual instances

I have built a big Java system that I am now want to deploy on Azure. Unfortunately, a critical  application function does not work on Azure's Virtual Machines, and i hope that one of you guys may know why, and whether there is an easy fix.

The nature of the problem: two servers that interact with each other using HTTP sessions.

Here is pseudo code of how it works.

Server A:
Running  service (servlet) HostComLeading that performs services on Server B in loop:

    PingForwardBlock
    {
    for (int i=0; i<MAX_ITERATIONS; i++)
    {
    HTTPPost(HostComFollow);
    }
    }

When called back from server B just returns some data (anywhere from a few Kb to a few MB):

    PingBackBlock
    {
    // just print something to servlet response and return;
    }

    Server B:
    Service HostComFollow:
    for Iint i=0; i<100; i++)
    {
    HTTPPost(HostComLeading.PingForwardBlock );
    if (slowDown)
    Thread.sleep(3300); // whait 3.3 seconds

Everything works just fine if the two servers run on physical machines in my home. However, when they run on two Azure virtual instances of Windows, Server B doesn't return after the first interaction (after 100 ping back calls and completion of HostComFollow). 

Any insight will be more than appreciated,

Thanks!

Ilan