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You followed the available guide to setup this but the results are not the expected.
Here's a quick troubleshooting sample to help you out.
When executing the powershell command to add the Hybrid Worked, make sure you use the switch -verbose to receive detailed information about the installation.

We confirmed that this particular issue was related with the traffic being blocked on the firewall to the following links\ports:
| Agent Resource | Ports | Bypass HTTPS inspection |
|---|---|---|
| *.ods.opinsights.azure.com | 443 | Yes |
| *.oms.opinsights.azure.com | 443 | Yes |
| *.blob.core.windows.net | 443 | Yes |
| *.azure-automation.net | 443 | Yes |
After allowing the traffic, success.
Hope this helps!
Regards