After installing JForum 2.1.9 and configuring the forum root URL as "http://mywebsite.cloudapp.net/jforum/", including the trailing slash as the configuration form request, I found that the smilies images were not showing.
With further investigation I found out they were generating HTTP error 404 because there was an extra slash at the URL, like this:
A message in this forum pointed out that the URLs were stored in the jforum_smilies table, in this format: "#CONTEXT#/images". Changing it to "#CONTEXT#images" solved the issue.
For the record, this is the commands I used. I hope this may help other people that face the same issue.