Your service is up and listening on port 3389, so from the OS side, you are good.
I would start by looking at something blocking TCP / RDP connections between your computer and your Azure VM.
Typically this is an on-premise firewall or an Azure NSG blocking the traffic.
To check for Azure NSG blocks, navigate to your VM in the Azure Portal and select the 'networking' option on the left menu. Make sure that the 'Inbound port rules' tab is selected, and make sure that port 3389 is allowed in via TCP.
NSGs attached to the NIC of the VM and the subnet can block this traffic.
For any on-premise firewalls, talk with your network administrator to make sure that port 3389 is allowed outbound.
Please let me know if you have any other questions or issues!