The use of VPN software in Azure VMs is generally not recommended as it can cause the VM to lose network connection.
Windows 10 multi session is very likely not supported by any of the major VPN software vendors as their software expect to be used exclusively by one user per device. So, you might want to try personal VMs and use split tunnel configuration to maintain the VM network connection to azure and the AVD endpoints.
Let me know if you have further questions.