sentry-python: Azure Function doesn't capture exceptions on Azure

I have a Queue Trigger Azure Function in Python with the following code:

import logging
import os

import azure.functions as func
import sentry_sdk
from sentry_sdk.api import capture_exception, flush, push_scope
from sentry_sdk.integrations.serverless import serverless_function

# Sentry configuration
sentry_dsn = "my-dsn"
environment = "DEV"
logger = logging.getLogger(__name__)
sentry_sdk.init(
    sentry_dsn,
    environment=environment,
    send_default_pii=True,
    request_bodies="always",
    with_locals=True,
)
sentry_sdk.utils.MAX_STRING_LENGTH = 2048


@serverless_function
def main(msg: func.QueueMessage) -> None:

    with push_scope() as scope:
        scope.set_tag("function.name", "ProcessHeadersFile")
        scope.set_context(
            "Queue Message",
            {
                "id": msg.id,
                "dequeue_count": msg.dequeue_count,
                "insertion_time": msg.insertion_time,
                "expiration_time": msg.expiration_time,
                "pop_receipt": msg.pop_receipt,
            },
        )

        try:
            # code that might raise exceptions here
            function_that_raise()
        except Exception as ex:
            print(ex)
            # Rethrow to fail the execution
            raise

def function_that_raise():
    return 5 / 0

Works locally, but not on Azure. I run multiple invocations, I get all the failures, but then nothing shows on Sentry.

I have also try manually capturing and flushing, but doesn’t work either:

try:
    # code that might raise exceptions here
    function_that_raise()
except Exception as ex:
    capture_exception(ex)
    flush(2)
    raise

Using sentry-sdk==0.19.5.

How can I troubleshoot what’s happening? What can be the causes that it works when running the function locally, but not when running on Azure?