Here's what I had to do to get SSL working in VS2015 with a web role in a cloud service:

1. Make sure that the url itself is 127.0.0.1 when launching IIS Express. If it is localhost, it won't work.

2. Make sure that you bind to the azure dev fabric thumbprint that gets installed with the SDK. If you are using the 2.7 SDK, it is F8ACE24A36F93B006BFAF495F6C14FB827AC61A3

3. Make sure that the dev fabric cert is in the right place. EG, if you say it is in "MY" then make sure it is Personal when you are looking in certificate manager. Or, if you say it in root, make sure you copy it there

I explicitly remove the HTTP endpoint as well.