Folks,
I'm looking into the reported issue with shading disappearing on extrusion (which sounds like a bug ), but in the meantime I would recommend authoring your symbols differently to achieve the desired result.
If you use a "3d Model Marker" in Pro, and use attribute-driven symbology to connect the height to a field, then the cylinders will render at the desired height (with endcaps and shading) in the same manner as extruded points.
An example of this type of symbology can be had by looking at the "Western Pacific Typhoons (2005)" Web Scene. To open it in Pro, go to Project Pane->Portal->All, and search for Typhoons 2005. Add an open the aforementioned titled Web Scene and look at the "Typhoons Q1" layer to see the cylinder symbol. Click the "burger button" in the upper right of the Symbology dockpane to see the "Review Connected Attributes" option - here you can see the height is driven from an attribute.
More detailed info on attribute driven symbology is available in the Pro help:
Attribute-driven symbology—ArcGIS Pro | ArcGIS for Desktop
Regards,
Jeremy W.