Customer posted the answer in the private comment. Sharing here for others to refer.
"The issue is regarding this link : https://learn.microsoft.com/en-us/azure/virtual-machines/linux/use-remote-desktop
The problem I got is every time I type in the username and password in the xrdp interface, the remote window closes.
I searched a lot and tried to repeat the steps, it turned out to be this command below probably got skipped.
echo xfce4-session >~/.xsession
Everything works perfectly after I run this command on my computer with powershell."