The problem is the App Fabric doesn't allow any inbound http connections to any role in the App Fabric unless you specify an endpoint in the service definition file.
So, the solution is to define an endpoint in the service definition file with the port specified in the web role.
To do this:
1) From VS 2010 -> Right click on the role
2) Click on Endpoints from the role properties left tab and add your End Point:
Name: HTTPInWS Protocol: Http Port: 20000
3) Build and publish your web role.
5) Add a web reference in your client application and try to consume the web service.
You will be able to access XML web service function with no errors.
Note: You have to have Azure SDK V1.3 at least to define more than endpoint in your cloud role.