@Michael Welcome to Microsoft Q&A, Thank you for posting your here!
Make sure to enable Azure AD login in for Windows VM in Azure and also configure role assignment for the VM and now login using the Azure AD credentials for the VM. Please check this document if you encounter issues on sign-in
Additional Information: Azure AD authentication is only supported on Windows Server 2019 or Windows 10 1809 and later VM. Also make sure System assigned managed identity under the Identity section is set to On.
Hope this helps!
Kindly let us know if the above helps or you need further assistance on this issue.
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