@Anonymous
I understand you have configured a squid proxy on your VM and are facing the above error.
Can you confirm if this is affecting your connectivity at all or is this simply an error you are seeing? If you are utilizing ipv4 you can enable the dns_v4_first option which might help. I don't believe this error is caused by anything on the Azure side. You might try posting your question on StackOverflow or reaching out to the squid mailing lists for more insights into the error.
-------------------------------
Please don’t forget to "Accept the answer" and “up-vote” wherever the information provided helps you, this can be beneficial to other community members.