Out of curiosity I opened my Azure web role project, navigated to the file that contained the RoleEntryPoint descendant class and completely removed that class definition. Then I packaged the role and deployed it in Azure - the role started without any error indication.
How could that possibly work?
In addition to what DarwkwingDuck said, I will just mention that RoleEntryPoint Provides methods to run code when a role instance is initialized, run, and stopped.
If we continue to read through the RoleEntryPoint class documentation on MSDN we will also see the following:
Worker roles must extend the RoleEntryPoint class to add functionality to the role instances. Web roles can optionally extend the RoleEntryPoint class, or can use the ASP.NET lifecycle management methods to handle the start and stop sequences. For a VM role, Windows Services are used instead of the RoleEntryPoint class.
So, Web roles can optionally extend the RoleEntryPoint class.