Hi,
Thanks for reaching out to Microsoft Q&A.
It's very simple and seems you have got the right software to connect the azure vm from mac. I suspect you are unable to connect only due to network or firewall block. Also pls check if the VM is powered on and able to reach from your network and is whitelisted if you are trying to connect from a corp network.
https://learn.microsoft.com/en-us/azure/lab-services/connect-virtual-machine-mac-remote-desktop
Please Upvote and Accept as answer if the reply was helpful, this will be benefitting the other community members who go through the same issue.