Unable to connect to Azure Virtual Machine(VM) with SQL Server Analysis Services(SSAS) installed using SQL Server Management Studio(SSMS)

Question

I'm trying to deploy an MSOLAP multidimensional cube, using Visual Studio, to Azure VM with SSAS installed. However, the deployment failed due to the following error

Severity Code Description Project File Line Suppression State
Error The project could not be deployed to the '<ipv4 address of Azure VM>' server because of the following connectivity problems :
Authentication failed.
To verify or update the name of the target server, right-click on the project in Solution Explorer, select Project Properties, click on the Deployment tab, and then enter the name of the server.

I was CONFUSED about impersonation credentials so I decided to check whether I can connect to SSAS instance independently.

To isolate the connection problems, I tried connecting to Analysis Services from SSMS and still was unable to login into the VM.

Using Windows Authentication option, I got the following error

TITLE: Connect to Server
------------------------------
Cannot connect to <ipV4 address of Azure VM>.
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ADDITIONAL INFORMATION:
Authentication failed. (Microsoft.AnalysisServices.AdomdClient)
------------------------------
No credentials are available in the security package (Microsoft.AnalysisServices.AdomdClient)
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BUTTONS:
OK
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When using Microsoft Entra password and Microsoft Entra MFA authentication options, got the same error both times

TITLE: Connect to Server
------------------------------
Cannot connect to <ipv4 address of Azure VM>.
------------------------------
ADDITIONAL INFORMATION:
The integrated security 'ClaimsToken' is not supported for native connections. (Microsoft.AnalysisServices.AdomdClient)
------------------------------
BUTTONS:
OK
------------------------------

I have tested and confirmed the Network Security Group permissions for Azure VM and Windows Firewall permissions are correct as I'm able to ping and connect to the VM using my RDP.

Please help!