I have a use case where I need the Diagnostics and Performance data of the Azure Web-Role to be monitored remotely which is to be done without any Storage Account.

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Adding to Stuart’s answer: the Diagnostic Monitor is set up to collect counters, logs, and diagnostics locally and aggregate them into well-known Azure Storage tables, so this requires a storage account. If you wrote a background process to periodically poll local counters, you could then push them from your instances to pretty much anywhere you want: SQL Azure, SQL Server (on premise), web service, email, etc. However, as Stuart says, this feels like reinventing the wheel.
The Diagnostic Monitor aggregates counters across all of your instances, letting you easily aggregate counter values across all of your web roles, for instance, or letting you drill down on a specific instance easily.
Not sure why you’d want to avoid a storage account for diagnostics. At $0.15/GB, it’s going to have very low cost overhead, especially if you’re only storing diagnostic data. Plus, 3rd party monitoring tools (such as AzureWatch) need to pull counters from your storage account.