I figured it out myself. There is an issue with the update from older versions to Ubuntu 20.04 which causes the grub_calloc. Basically, I
- downloaded the BLOB of the OS disk to my local machine
- mounted it to a new machine on my local HyperV installation and
- booted this system with boot-repair-disk.iso (https://sourceforge.net/p/boot-repair-cd/)
- I followed the instructions on screen of this bootable Linux image which repaired all the defective OS drive.
- Then I uploaded the repaired VHD OS disk to Azure, converted it into a managed disk,
- created a new machine and attached the new disk
That's all.