Hi @Liang Huang ,
Thanks for using Microsoft Q&A !!
I have tried the documentation and deployed the application, and I could see the conversation history is getting saved on the deployed web application.
When you deployed the web app, a cosmosdb resource gets created which helps keeping track of the conversation history. Can you please check if the deployed web application of the portal has the correct azure cosmos db account information under "App Settings". Please refer to the below image -
Have you tried deploying the web application again over the previously deployed web application?
Also, can you please check the activity logs of the cosmosdb account and the web application if you could see any error messages.
Please let me know how it goes.
Thanks,
Saurabh