WCF Relay not receiving messages - wcf

Question

I have several queues on the Azure service bus and are now setting up a WCF relay service (inhouse) for processing messages. I have written a console application that hosts this service and looks like this:
var sh = new ServiceHost(typeof(MyWcfService));
try
{
sh.Open();
foreach (var endpoint in sh.Description.Endpoints)
Console.WriteLine(String.Format("Listening at: {0}", endpoint.Address));
Console.Write("Press ENTER to close");
Console.ReadLine();
}
catch (Exception e)
{
...
}
finally
{
sh.Close();
}
MyWcfService is implementing an interface with the method
[WebInvoke]
[OperationContract]
void ProcessMessage(IntegrationMessage message);
When executed, I get messages that tells me that the application is listening to three different sevicebus endpoints (which are the ones I have configured) so this seems to be correct.
When looking at the traffic through Fiddler I get only 4 rows:
200 HTTP Tunnel to xxx-sb.accesscontrol.windows.net:443
200 HTTPS xxx-sb.accesscontrol.windows.net /WRAPv0.9/
200 HTTPS xxx-sb.accesscontrol.windows.net /WRAPv0.9/
200 HTTPS xxx-sb.accesscontrol.windows.net /WRAPv0.9/
which in my eyes seems correct as it returns 200 and I see in fiddler that it also return a wrap_access_token..?
The question is why are there not any additional requests for getting the actual messages? I was expecting additional calls to open the connection to the service bus, but none are made..
I know that there are messages on at least two of the three queue's.
Any help will be much appreciated, and I will provide more information if needed.