I have now had the exact same problem on two brand new surface pro 9s. The first time round I thought I had gotten a dodgy device and returned it. Unfortunately I have the exact same problem with my new device. I wish I'd seen this thread earlier and just gotten a refund. It's beyond frustrating as this functionality is the only real reason to buy a surface pro in the first place. I could have got a separate tablet and laptop for cheaper.
I can't find anything from Microsoft that even acknowledges the problem, let alone advises that a fix is being worked on. Really poor.
The work arounds are clunky and aren't practical in my work context.
I'm hoping someone from Microsoft acknowledges soon or I'll be seeking a refund.