Non-rectified Voltage output across the capacitor
Your capacitor is too large to allow the PZ to charge it. Try 1 uF or 0.01 uF.

Use 1N914 or 1N4148 diodes. If you use 1N4001-type, their leakage and parasitic capacitance may also degrade your output.

In any case, the scope input resistance will discharge the capacitor relatively quickly and the signal you get will actually be quite small.