I configured my azure vms to shutdown instead of deleting them. Since two weeks or so, it stopped working. The machines weren't shutdown, but the jenkins node got suspended. In the logs I see that the event is logged correctly, but the azure vm never receives the command (no entry in the azure vm activity log). 

I recreated everything and it's the same.

In the logs:
Dec 11, 2018 9:27:58 AM INFO com.microsoft.azure.vmagent.AzureVMCloudRetensionStrategy check
AzureVMCloudRetensionStrategy: check: Idle timeout reached for agent: linux-dockeraed960, action: shutdown
Dec 11, 2018 9:27:58 AM INFO com.microsoft.azure.vmagent.AzureVMCloudRetensionStrategy$1 call
AzureVMCloudRetensionStrategy: going to idleTimeout agent: linux-dockeraed960