Why can I not shoot as sharp as I see on live preview?

I don't think sharpness is the issue in the first shot.

I think the predominant issue is it's comparatively dark, under-exposed, and has less specular highlight and colour-push as you see in your live view screen.

I haven't attempted to colour-match because I have no idea which is most correct. Also one is a photo of a screen & the other is a photo of the object directly.
All I did here was to punch up the exposure & colouring on one of them, then roughly match the apparent sizes.

I'd say, given the disparate origins, they are of approximately similar sharpness. If anything the top is sharper than the bottom, though their origin can easily allow for that discrepancy.

I think the takeaway lesson is - don't use Live View as a judge of lighting.
If you're not certain, in this type of setup where your subject is never going to get bored waiting for you, run some test shots. Check them on your computer not just the back screen. Take as long as you like to get your lighting & exposure right.

If you didn't guess already, the top one is your photo, the bottom one is your live view.

I've ignored the one at f/36 as that's never going to work with the aperture that tight. Lookup 'diffraction limit' for further explanation.
If you want more DoF in macro, then you could close up to f/8 or maybe a little more, but if you want the entire object in focus you're going to need focus stacking - again a topic for another post.

One thing to note is we are not comparing like with like, even allowing that one is a photo of a screen. LiveView optimises the view to the screen, like a smartphone does. The resulting photograph, especially if shot RAW, has no optimisation at all applied. That will be highly dependant on what you open it with & what settings you use for it.

Mentioned elsewhere is that the mirror may be causing shake. On the photos as uploaded I'm not seeing any shake - even though the uploaded quality is quite low, making absolute determination difficult.