Hello @Sudarshan Bhamare ,
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others", I'll repost your solution in case you'd like to "Accept" the answer.
Issue: After you RDP into your Azure VM, you attempted to log into your Azure account from that VM and were able to open portal.azure.com. However, when it redirected to sso.xxxxxxxx.com, you encountered the error "DNS_PROBE_FINISHED_NXDOMAIN." You are using a firewall and have added an application rule to allow the FQDN sso.xxxxxxxx.com on ports 80 and 443. Despite this, you are still unable to connect to the site and receive a local DNS error.
Solution: You created a Private DNS Zone with that particular domain and hence it was causing the error. You deleted the Private DNS Zone and now the issue is resolved. You are able to login to your Azure account from the VM.
If you have any other questions or are still running into more issues, please let me know.
Thank you again for your time and patience throughout this issue.
Please remember to "Accept Answer", so that others in the community facing similar issues can easily find the solution.