Hello @Action mask
1.Any error messages when you create the VM ? Get deployment operations and error message
2.Review the status of the VM through activity log. View activity logs to monitor actions on resources
3.What if you download RDF File, can you connect in this way?
4.Sometimes restart the VM can help resolve the problem.
5.Make sure that the account you're using to connect with has Remote Desktop sign-in rights. As a workaround, use a domain or local administrator account to connect over Remote Desktop. To add the desired account to the Remote Desktop users local group, use the Microsoft Management Console snap-in (System Tools > Local Users and Groups > Groups > Remote Desktop Users).
Please first go through general troubleshooting steps: Troubleshoot Remote Desktop connections to an Azure virtual machine
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Best Regards
Karlie