This is what fixed the problem for me. - https://learn.microsoft.com/en-us/troubleshoot/azure/virtual-machines/troubleshoot-rdp-nsg-problem#symptom
You cannot make an RDP connection to a VM in Azure because the RDP port is not opened in the network security group.
When you create a new VM, all traffic from the Internet is blocked by default.
To enable the RDP port in an NSG, follow these steps:
Sign in to the Azure portal.
In Virtual Machines, select the VM that has the problem.
In Settings, select Networking.
In Inbound port rules, check whether the port for RDP is set correctly. The following is an example of the configuration:
If you specify the source IP address, this setting allows traffic only from a specific IP address or range of IP addresses to connect to the VM. Make sure that the computer you are using to start the RDP session is within the range.