How can I successfully glaze asparagus?
Try peeling the asparagus. This would work better with thicker asparagus. 

Since the outer skin of asparagus is so smooth, I can see how glaze would just slip off. Peeled asparagus will have a slightly stickier surface for the glaze to hold on to. An added bonus is that some of the glaze should penetrate if the asparagus is peeled.

Be aware that peeled asparagus will cook faster than unpeeled. See also: Should asparagus be peeled before cooking?