Hi Igor,
When you upload to blob storage I would expect the processor to be working hard for a while while the files are synced to the web roles.
However a lot of changes ahve been going on with Azure and I'm not sure this synchronization technique is the best solution given some of the new possibilities. From Scott Gu's post it sounds like it is now possible to share a data drive accross web nodes and this might be a better way to map the /Data folder where user uploaded files are stored, and the rest of the files can be part of the web role image.
I plan to investigate these things when I get some time but I'm not sure how soon that will be.
Best,
Joe