Most common reason is a "blocking" Network Security Group (NSG) with a missing RDP inbound rule:
NSGs can be associated with a VM and/or with the subnet. You should check both options.
Some more detailed troubleshooting steps you can find here:
https://learn.microsoft.com/en-us/azure/virtual-machines/troubleshooting/detailed-troubleshoot-rdp
----------
(If the reply was helpful please don't forget to upvote and/or accept as answer, thank you)
Regards
Andreas Baumgarten