My webapplication hosted on windows azure needs to communicate with TFS Server. my webroles connect to TFS using a uri similar to (http://ed12-ektfsp-01:8080/tfs/eeol/ ) While on azure I found that my webrole failed to communicate with tfs server.
Please take a look at my answer to this question.
As for your specific questions:
Do I need to enable "azure connect" for for my azure webrole to communicate with tfs ?
YES.
Do I need to remote into my tfs server and install azure connect into my TFS server for the azure connect to get enabled ?
YES. And add both the WebRole and the TFS Server into single Connection Group.
Why azure cannot communicate using "http://ed12-ektfsp-01:8080/tfs/eeol/ " ?
Because the address given is known only within your corporate network, and only resolved by the Company's DNS server. Noone outside can access this address.