If you cannot connect to an Azure VM using RDP, ensure that you are using the correct credentials, and then follow the solutions provided here.

Microsoft announced the preview of Azure Bastion, a managed PaaS service designed to provide RDP and SSH access via a web browser to VMs on an Azure Virtual Network (VNet) without having to assign ...

This quick how-to article walks you through the process of connecting to a VirtualBox virtual machine, so you can work locally on a remote desktop.