Thanks for your response, after multiple attempts I think I could get to the root of it, however I am still experimenting with this so will be in a better position to confirm after detailed testing.
It's basically the time zone of the machine hosting SHIR. When you change the time zone of the machine and restart it, it ensures to pick up the updated time zone and any operation e.g. insert statements in stored procedures executed via linked service that makes use of this SHIR will insert the data e.g. datetime in storage table (SQL Azure Database in our case) w.r.t. to the time zone of the machine and that is fine.
It's just that the SHIR service or machine needs to be restarted in order to correctly refer to the updated time zone, I was mostly missing this bit and hence caused the confusion.
Thanks for reading through it and responding.