@yangyifan
Thank you for your post!
When creating a VM and enabling server-side encryption with customer-managed keys, you'll have to make sure your VM's region is in the same region as your Disk Encryption Set. Otherwise, the option to select a Disk Encryption Set during VM creation won't be available.
If you have any other questions, please let me know.
Thank you for your time and patience throughout this issue.
----------
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.