Hello Ivan Lee,
Welcome to Microsoft Q&A Platform, thanks for posting your query here.
To clarify, the Ephemeral OS Disk for the Standard_D4lds_v5 VM size is indeed SSD. The VM Scale Set in the Azure portal may be indicating that the storage type is Standard HDD LRS because that is the type of storage used for the persistent disks in the VMSS. The Ephemeral OS Disk, on the other hand, is a temporary disk that is created and destroyed with the VM and is stored on the local SSD of the host machine.
The type of Ephemeral OS Disk is determined by the VM size and is not configurable. In general, VM sizes with "s" or "d" in the name have SSD temporary storage, while those without typically have HDD temporary storage.
Hope this information helps.