Here is the definitive list of things to check on the 3 non-working Azure VMs - https://learn.microsoft.com/en-us/entra/identity/devices/howto-vm-sign-in-azure-ad-windows
I would prioritize checking RBAC assignment on the VM (Virtual Machine Administrator Login or Virtual Machine User Login - NOTE: even if you are owner or contributor on the VM, that is not enough), among your RDP Properties ensure you have both enablerdsaadauth:i:1 and either targetisaadjoined:i:1 or SSO for AVD has been configured, and that the VM extension (AADLoginForWindows VM extension is installed after managed identity enabled on the VM and has a healthy status) as well as run the
dsregcmd /status
command in a command prompt on one of the non-working VMs. Use the results to direct your troubleshooting next steps.