I assume you are referring to Exercise - Create an Azure virtual machine, which is part of AZ-900. Please let me know if my assumption is incorrect.
I just tested and it displayed the Azure Cloud Shell window on right just as it should after activating sandbox, reviewing permissions, accept, etc.
Please try with a different browser profile or Incognito/InPrivate window to see if it will work this time. By browser profile I mean in Chrome click person icon in upper right -- Guest or in Edge click person icon in upper left corner -- Other profiles -- browse as guest.