Hello @sns ,
Thanks for posting your query on Microsoft QnA.
The network connectivity is getting blocked because you have a network security group rule in place that is denying all inbound connections. You will have to add an inbound NSG rule that allows RDP to your VM with a priority lower than that of DenyAllInBound rule. Let's say if you DenyAllInBound rule has a priority 200, your RDP inbound rule must have a priority <200.
Refer to this document : troubleshoot-rdp-nsg-problem.
Please refer to the below image for further understanding.
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