On Azure (or from VS) the dialog for creating new messages inside a queue says the message expires in 7 days, yet it is gone in less than a few seconds. Why? (I created a continuous running WebJob as described in this article)
The message disapear because it has been consummed by your Web job. The retention delay means you have X days to consume the message (in your case, 7 days). After the delay expired, the message is automatically deleted.
If you want multiple consumer for your messages, instead of a queue, you can use Service Bus with subscription or topics, or Event Hub with consumer groups.