Hello,
Could you verify if the correct version of the Azure Virtual Machine has been deployed? Typically, the core version doesn't require a Graphical User Interface (GUI).
Server (Core) vs Server with Desktop Experience
When you install Windows Server, you install only the server roles that you choose - this helps reduce the overall footprint for Windows Server. However, the Server with Desktop Experience installation option still installs many services and other components that are often not needed for a particular usage scenario.
That's where Server Core comes into play: the Server Core installation eliminates any services and other features that are not essential for the support of certain commonly used server roles. For example, a Hyper-V server doesn't need a graphical user interface (GUI), because you can manage virtually all aspects of Hyper-V either from the command line using Windows PowerShell or remotely using the Hyper-V Manager.
What is Server Core? | Microsoft Learn
Kind Regards,
Karlie