Hello Veera
Welcome to Microsoft Q&A Platform, thanks for posting your query here.
Looks like the issue is related to the security settings on the files that you are copying from the on-premises VM to the Azure VM.
One possible solution is to unblock the files on the on-premises VM before copying them to the Azure VM.
Another solution is to use PowerShell to unblock the files on the Azure VM after they have been copied. You can use the following command to unblock all files in a directory:
Get
You can replace "C:\Path\To\Directory" with the path to the directory where the files are located on the Azure VM.
If these solutions do not work, it is possible that there is a policy in place that is blocking the files. You can check the Azure Security Center to see if there are any security policies that are affecting the files. You can also check the Azure Network Security Group to ensure that the necessary ports are open for file sharing.
Hope this helps.