Welcome to Microsoft Q&A Platform, thanks for posting your query here.
Based on issue description, application Unreal Engine throwing error while launching in Azure Virtual Desktop.
It could mostly be due to missing of driver (Nvidia grid driver or AMD GPU driver). You can get this fixed by installing appropriate drivers and reboot the VM. After that check in Device manager for the the installed driver. Please refer below links:
https://learn.microsoft.com/en-us/azure/virtual-machines/windows/n-series-amd-driver-setup
https://learn.microsoft.com/en-us/azure/virtual-machines/windows/n-series-driver-setup
Hope that helps.
Please 'Accept as answer' if the provided information is helpful, so that it can help others in the community looking for help on similar topics.