Azure: Can't Sustain Screen on Ubuntu VM

I am having trouble with my Ubuntu image on Azure. I'm trying to start a screen session because I want to leave some things running on the server even when I terminate my ssh session... But for reason, when I terminate my session the screen goes with it. I assume it's because I'm not the root user, since Azure disables that, although even when I try to sudo su it still doesn't work... Any tips?