This happens when a user is trying to manage/change a managed resource [ARO resource group]. This is currently by design. After a user creates an ARO openShiftClusters resource, the ARO service creates a cluster resource group.
The end user doesn't have permissions to delete that cluster resource group. If they want it to go away they should delete the ARO openShiftClusters resource and the service will delete it again.
The ARO VMSS is fully managed by Azure. The deny action is intended. The cluster resource group is protected by a deny assignment which prevents the end user from inadvertently deleting or modifying it.
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