A couple of things worth checking:
- make sure to hit those password complexity requirements, Azure has some requirements around these.
- is the VM domain joined?
- try using .\username or localhost\username
- or domain\username
- try using .\username or localhost\username
- For you to access a VM using RDP, the NSG associated with the VM or its subnet must allow inbound traffic on port 3389 (default port for RDP). Make sure their is an inbound rule for this to allow rdp.