Exceptions not recorded in Azure Application Insights

Questions
1

I added Azure Application Insights (AI) to my Umbraco 10 website:

public void ConfigureServices(IServiceCollection services)
{
    services.AddUmbraco(env, config)
        .AddBackOffice()
        .AddWebsite()
        .AddComposers()
        .AddAzureBlobMediaFileSystem()
        .Build();

    services.AddApplicationInsightsTelemetry();
}

I can see exceptions being logged in Umbraco using the Log Viewer, but those exceptions are not being recorded in AI.

Any idea what I should do to get them into AI?

This is a companion discussion topic for the original entry at https://our.umbraco.com/forum/110194-exceptions-not-recorded-in-azure-application-insights