SQL Server permissions to execute xp_cmdshell against a network share (azure)

Question

My setup:

• created "app" login
• under AppDB, create a user "app" for login "app" and granted execute, read, write
• under master db, created a user "app" for login "app", granted execute on xp_cmdshell
• on the box, created a local account "proxy" and gave it permissions to access the shared drive
• under Local Security Policy\Local Policies\User Rights Assignment\Log on as a batch job - added "proxy" local account in here
• in master db, executed sp_xp_cmdshell_proxy_account 'box\proxy', 'pwd here'
• restarted sql service, logged in as "app" login and tried to run xp_cmdshell 'dir \\myshare.file.core.windows.net\myshare', but getting The user name or password is incorrect.
• ran xp_cmdshell 'whoami', getting back box\proxy as expected

What I have tried so far:

• tried making "proxy" account an administrator on the box, restarted sql service, no luck

• tried adding "proxy" account as sql login, even giving sysadmin, again no luck

• i've changed proxy to be the same account as sql service by sp_xp_cmdshell_proxy_account 'box\sql_service', 'pwd here'

• when i'm running from my login, sysadmin, xp_cmdshell 'dir \\myshare.file.core.windows.net\myshare' everything is good

• when i'm running from "app" login, no sysadmin, getting the error The user name or password is incorrect., even though, now it runs the command under same user on the box