If you were expecting your on-premises domain joined VM to be shown under devices section as hybrid azure AD joined then, you should have configured hybrid Azure AD join setup in your on-premises environment.
You can check the output of command dsregcmd /status.
This command would give you the result depending on which you can identify where is the device joined to.
You can refer below article to troubleshoot more with the output of the above command,
If there is configuration issues on Hybrid Azure AD join, then you can refer below article to troubleshoot on hybrid azure AD joined devices,
Do let me know if you have any further questions.
Please "Accept the answer" if the information helped you. This will help us and others in the community as well.