Masstransit not creating Error queue for Azure Function event subscriber - azure

Question

We followed this example (http://masstransit-project.com/MassTransit/usage/azure-functions.html) to try to set up Azure Functions as Azure Service Bus event (topic) subscribers using MassTransit (for .Net CORE 2.1, Azure Functions 2.0).
When using Azure Webjobs this is as simple as using RabbitMQ, configure the publisher, let the subscriber configure and set up its queue, and have Masstransit automatically create one topic per event, redirect to queue and to "queue_error" after all retries have failed. You do not have to setup anything manually.
But with Azure Functions we seem to manually (through Service Bus Explorer or ARM templates) have to add the subscribers to the topic (which is created by the publisher on the first event it publishes) and the queues as well (though these don't even seem to be necessary, the events are handled directly by the consuming Azure Function topic subscribers.).
Maybe we are doing something wrong, I cannot see from the docs that MT will not, as it normally does, set up the subscriber andd creating queues when using Azure Functions. But it works, except for when the consumer throws an exception and after all setup retries have been executed. We simply do not get the event in the deadletter queue and the normally MT-generated error queue does not even get generated.
So how do we get MT to create the error queues, and MOVE the failed events there?
Our code:
[FunctionName("OrderShippedConsumer")]
public static Task OrderShippedConsumer(
[ServiceBusTrigger("xyz.events.order/iordershipped", "ordershippedconsumer-queue", Connection = "AzureServiceBus")] Message message,
IBinder binder,
ILogger logger,
CancellationToken cancellationToken,
ExecutionContext context)
{
var config = CreateConfig(context);
var handler = Bus.Factory.CreateBrokeredMessageReceiver(binder, cfg =>
{
var serviceBusEndpoint = Parse.ConnectionString(config["AzureServiceBus"])["Endpoint"];
cfg.CancellationToken = cancellationToken;
cfg.SetLog(logger);
cfg.InputAddress = new Uri($"{serviceBusEndpoint}{QueueName}");
cfg.UseRetry(x => x.Intervals(TimeSpan.FromSeconds(5)));
cfg.Consumer(() => new OrderShippedConsumer(cfg.Log, config));
});
return handler.Handle(message);
}
And the Consumer code:
public OrderShippedConsumer(ILog log, IConfigurationRoot config)
{
this.config = config;
this.log = log;
}
public async Task Consume(ConsumeContext<IOrderShipped> context)
{
// Handle the event
}
}