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)
You need to scroll to the section on "Enabling diagnostics extension through PowerShell"