Well, on Azura especially you need sustain more than anything, and you focus completely on damage, even hurt your sustain directly by using Kena.

Look at it this way: If you run out of resources during a fight, and could not have killed your opponent faster by stacking more damage - which is exactly your situation I gather - then having more sustain will overall increase the damage you deal more than having even more damage stats. Even more, you can more efficiently build sustain than damage, as your regen is effected by more multipliers in practice and you have the option to build cost reduction.
Also, sustain will increase your survivability, obviously.

Now, to your gear. You are listing only 10 pieces btw.
As I said already, I really wouldn't recommend Molag Kena on Azura, I think it will hurt you more than it helps, except maybe if you spam Overload, and maybe even then. Julianos may in theory be more effective without CP, due to the loss in crit chance and spell damage, but as said before, you need sustain, and for that Julianos is simply terrible. I'd recommend either Willow's Path (which I am using myself) or Seducer, which are two sustain focused sets that become more effective without CP as well. For the other pieces, you could use Engine Guardian or complete your gear set with more staple sustain sets, like 3 Willow's, 1 Bloodspawn/2 Seducer etc.
It might be good to note that you should definitely use 3 magicka cost reduction glyphs on your jewelry. Nothing else comes close without CP. The gear should be enchanted with all max magicka or prismatic if you feel like it. If you have the undaunted mettle passive, I'd choose a 5/1/1 light/med/heavy setup (mentioning this because it costs sustain).

And to your skills. You aren't listing your ultimates, they are kind of important, especially if you use Overload. Also, you didn't mention your weapon. I'm going to assume it's a destro/resto setup, because that easily outperforms anything else especially in no CP.
So, you are missing Hardened Ward. Unless you really know what you are doing, you should use that, and best put it on your destro bar. I'd take out Mage's Light for it, the benefits are just on a completely different level. To keep your stamina regen passive active, you might want to move Curse on the resto bar, in that case Dark Conversion or Surge could be removed or placed on an Overload bar instead. Overload, if used, should also be placed on the resto bar, so you can heal yourself faster, should you take damage while in Overload mode.
To decide your other ultimate you should test the possibilities out, Dawnbreaker, Soul Assault, Meteor, Negate, Atronach; their usefulness changes as you switch to a more sustain focused setup.
Also, on your destro bar Crushing Shock (or if you can sustain it, Destructive Reach, but that's unlikely) is pretty much must have to keep up pressure; just as you die due to running out of resources now, you should try to kill your enemies. Create bursts, when you can, but don't let pressure down when they are cc immune and you have no crystal fragments procced.

That should give enough insight on the direction I would take I suppose. Feel free to ask if you have some questions left.

Thanks, that gives me a better idea of what I should do

I have got 1 armor piece that is vicious... I got destro julianos staff and healing julianos.

Ultimates, I got the barrier one on destro. It really helps the group and myself to survive. And overload on resto. Don't yet got meteor because it takes sooo long...
The sole reason I have Conversion is to keep my magicka a bit up, but it can go away for curse yeah.

And shouldn't I keep the surge for the 20% extra spell/weapon dmg? and the small heal.

I think I will try the seducer set first, thanks for the help

Vicuous Death is not a good set for a magicka sorc after the range nerf imho. Keep in mind that Elo'Dryel and me most time are in solo or with a couple of friends: If you play in an organized warband you setup can change. The few time I join my guild wb (I really don't like that kind of playing...) I use winterborn set and ice destro staff for CC (elemental blockade + restraning prison)...so you gotta tell us what kind of pvp play you do. If you are gonna go for prismatic glyph you can consider running shuffle for extra defence: you should have a decent stamina pull with prismatic + dark elf). BTW i run well fitted on my small armor pieces: many will disagree with that but I fell like a good bet for my playstyle.

If you want to keep your group alive, I would recommend Absorption Field (healing morph of Negate Magic) instead of Barrier.

Personally I use both Dark Conversion and Power Surge on my Overload bar, they perform well enough for me there and I was fine completely giving them up when I was using both Meteor and Negate.

Crit resistance from Impenetrable traits is less important for a Sorcerer using damage shields and on Azura's Star - it's not useless, but not mandatory either. Infused, Divines or Well fitted are all competitive as well in that situation, imo.