Hi @Mai Ty,
Welcome to the Microsoft Q&A Platform! Thank you for asking your question here.
We understand from your query that you are experiencing an issue while trying to connect to the VM via RDP using a VPN Client. I have shared troubleshooting steps that I felt will help resolve the issue you reported.
I would like to know if you were able to connect to the VM before configuring the SoftEther VPN Client.
When using a VPN client on an Azure VM, it can sometimes make it difficult to connect to the VM with Remote Desktop Protocol (RDP). This happens because the VPN may change the network settings of the VM, which can disrupt RDP connections.
Please make sure your VM has a static IP address that doesn’t clash with other devices on the network. Also, check the VPN settings to prevent any conflicts with the VM. Some VPNs let you access the local network, which can help you connect to the VM via RDP while the VPN is active. Look for this option in your VPN settings.
If the VPN client you are using is causing issues with RDP connections, try using a different VPN client that is known to be compatible with RDP connections.
If you have any further queries, do let us know.