Based upon the port, I assume you are also hosting a Valheim server in Azure. First off, Windows Server will be a better SKU for a dedicated server, but Windows 10 should work just fine.
Make sure to allow ports 2456 and 2457 for Valheim. Don't forget your outbound rules too! There are no flows for UDP, so you will need to allow the protocols outbound too on both your NSG and OS firewall.
While the server is running, you should see a listening UDP on port 2457 when you run the following command:
netstat -a -n
Make sure to install the game and host the server files on a data disk (Not the OS Disk C:/ or Temp Drive D:/), or you will get some lag / delays.
If you are adding the server via the steam favorites, use port 2457.