Sign in to your management VM. For steps on how to connect using the Azure portal, see Connect to a Windows Server VM.
Server Manager should open by default when you sign in to the VM. If not, on the Start menu, select Server Manager.
In the Dashboard pane of the Server Manager window, select Add Roles and Features.
On the Before You Begin page of the Add Roles and Features Wizard, select Next.
For the Installation Type, leave the Role-based or feature-based installation option checked and select Next.
On the Server Selection page, choose the current VM from the server pool, such as myvm.aaddscontoso.com, then select Next.
On the Server Roles page, click Next.
On the Features page, select the Group Policy Management feature.
please also find step by step guide click on mentioned below link
https://learn.microsoft.com/en-us/azure/active-directory-domain-services/manage-group-policy
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