The default port for RDP is TCP port 3389 not UDP.
NSGs deny all inbound traffic except from virtual network or load balancers. For inbound traffic, Azure processes the rules in a network security group associated to a subnet first, and then the rules in a network security group associated to the network interface.
By default NSG rule to allow traffic through RDP port 3389 is not created automatically during the creation of VM , unless you change the setting during creation.
Here in the solution UDP traffic is allowed at virtual network level which is not tcp/rdp protocol. So this will not work to achieve the goal.
Reference:
https://docs.microsoft.com/en-us/azure/virtual-machines/troubleshooting/troubleshoot-rdp-connection
https://docs.microsoft.com/en-us/azure/virtual-network/security-overview#default-security-rules