According to your description, I had test in my lab, follow this article I had create image, and it works. Maybe there are some points need to consider:
1.run sysprep.exe, in Shutdown Options, select Shutdown. After sysprep.exe was running, we will disconnect this VM, but it does not mean this VM was stopped.
We should confirm the status of this VM, we can via portal to check the status:
2.After this VM's status is stopped, then we can click the VM and select the virtual machine you want to capture.
3.Then we can use this image to create a new VM.
You should re-capture this image.
Note:Prior to caputuring an image of an Azure virtual machine, it is recommended the target virtual machine be backed up