@Diptendu Bandyopadhyay (IN) ,
I hope you are entering the correct credentials to connect to the VDI. Can you please confirm if the same resource is accessible by someone from your team? If yes, then you might resolve the issue by adding users in the Application Group and adding Targetisaadjoined:i:1 in RDP Properties. For more details, please read the article - https://learn.microsoft.com/en-us/azure/virtual-desktop/deploy-azure-ad-joined-vm
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Ravi Kanth