Hi Tianchen Guo,
I have investigated on this issue further!
Install GRID driver on Ubuntu with Secure Boot enabled
The GRID driver installation process does not offer any options to skip kernel module build and installation and select a different source of signed kernel modules, so secure boot has to be disabled in Linux VMs in order to use them with GRID, after installing signed kernel modules.
Installing via Azure CLI: https://learn.microsoft.com/en-us/answers/questions/2180437/how-to-fix-no-gpu-issue-with-nc-series-on-azure-vm
With Secure Boot enabled, all OS boot components (boot loader, kernel, kernel drivers) require trusted publishers signing. Both Windows and select Linux distributions support Secure Boot. If Secure Boot fails to authenticate that the image is signed with a trusted publisher, the VM fails to boot. For more information, see Secure Boot.
For more information: https://learn.microsoft.com/en-us/azure/virtual-machines/trusted-launch
Hope this helps!