I was trying and failing to upgrade an Azure VM Windows Server 2019 using these instructions: 

https://learn.microsoft.com/en-us/azure/virtual-machines/windows-in-place-upgrade

and running PS command 

.\setup.exe /auto upgrade /dynamicupdate disable

and selecting Windows Server 2022 Datacentre as the version I wanted to install (because it is!):

I would then encounter this:

and obviously I didn't want to proceed with "nothing"!

Well, after logging a support ticket and a lot of very friendly but unhelpful email exchanges, I thought I should try again and capture screenshots of every step. And then I solved it... I had simply chosen the wrong image for my server. When I selected "Windows Server 2022 Datacentre (Desktop Experience)" I was not offered the options to keep or not keep at all - it simply went ahead with the upgrade as shown:

Two days later... actually it failed the first time - it bailed out silently, with server remaining unchanged, and nothing diagnostic in the event log that I could see. Same again second time. But the third time I ran it, the upgrade completed and my server is now Windows Server 2022 with everything seeming fine.