@Troy Johnson Thanks for posting on Microsoft Q&A.
There is a very detailed documentation on Login to Windows virtual machine in Azure using Azure Active Directory authentication which contains all information about login using AAD credentials as well as the common errors troubleshooting steps.
As per the document,
If you see the following error message when you initiate a remote desktop connection to your VM:
The sign-in method you're trying to use isn't allowed. Try a different sign-in method or contact your system administrator.
Then check the following:
If you've configured a Conditional Access policy that requires multi-factor authentication (MFA) before you can access the resource, then you need to ensure that the Windows 10 or newer PC initiating the remote desktop connection to your VM signs in using a strong authentication method such as Windows Hello. If you don't use a strong authentication method for your remote desktop connection, you'll see the previous error.
Let me know if you have further questions or this doesn't resolve your issue. I would recommend going through the document to make sure you are not missing any step, for e.g. configuring role assignments.