Have you reached all the NSG rules? follow the troubleshooting on this thread
https://learn.microsoft.com/en-us/answers/questions/1290947/azure-vm-rdp-connection-problem
You can try to connect via serial console too, and access your Linux and check if there are any restrictions,
Reference: https://docs.microsoft.com/en-us/troubleshoot/azure/virtual-machines/serial-console-linux
You can disable the firewall for test (systemctl stop ufw) systemctl stop firewalld and Iptables -F
or
setenforce 0
Remembering that usually ssh root login is blocked
Get in touch if you need more help with this issue.
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