Hello there,
It depends on what you're using it for.
- If you're using Azure VMs to host the apps for the end users it might be a wrong approach. Check out Azure RemoteApp
- Make sure the VM's (infrastructure overall) is in the closest data-center
- If VM as such is terribly slow (remember that by default they're using magnetic storages), consider "Premium storage" option to improve IOPS.
- Try to troubleshoot RDP connection using this guide.https://learn.microsoft.com/en-us/troubleshoot/azure/virtual-machines/troubleshoot-rdp-connection?toc=%2Fazure%2Fvirtual-machines%2Fwindows%2Ftoc.json
Hope this resolves your Query !!
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