However, I would like to know if there is somehow possible to use an Active Directory VM in Azure Cloud instead of Azure AD DS and put users from "On-Premise AD" with "Azure AD" and then with the Active Directory VM in the Azure Cloud to sync
As far as I know this is not possible.
The only option without a Site-To-Site VPN Gateway to your on-premises AD is using Azure Active Directory Domain Service.
In AADDS you are limited with OUs but it's possible to use GPOs.
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Regards
Andreas Baumgarten