Hi @Ori Gilgun ,
After you created a new endpoint can you verify the default port for RDP is open The default TCP port is 3389. A rule to permit RDP traffic may not be created automatically when you create your VM. You can do this by selecting your VM in the Azure portal. Then clicking the Endpoints button to view the endpoints currently configured for your VM. Verify that endpoints exist that allow RDP traffic on TCP port 3389.
Since you are having trouble using RDP to connect your VM I'd advise you to take a look at this doc here. That doc goes over the best troubleshooting tips to get back into your VM after being unable to do so.
Hope this helps!
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