Hello!
It's true that running a DHCP server in Azure is not supported. Similar thread that has been answered before on Q&A https://learn.microsoft.com/en-us/answers/questions/284695/rds-ip-virtualisation-azure
However, there are a few workarounds that you can consider.
One option is to use a local pool of IP addresses instead of obtaining an IP address from DHCP. This can be done by configuring a static IP address pool on the RDS host. You can then configure the RDS host to assign IP addresses from this pool to clients as they connect.
Another option is to use a third-party DHCP server that is hosted outside of Azure. You can then configure the RDS host to obtain IP addresses from this DHCP server. It's worth noting that using a local pool of IP addresses or a third-party DHCP server may require additional configuration and management compared to using Azure's built-in DHCP service. However, it can be a viable workaround if you need to enable RDS IP virtualization in Azure.
I hope this helps! Let me know if you have any further questions.