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. Subnets usually do not have any NSG associated unless you go out of the way to do so, which this scenario does. when you create that extra NSG, it won't have an RDP rule by default, thus blocking inbound connections.
Request first goes to NSG -subnet1 and as there is no allow rule for RDP so it will block the request by default.Since the Subnet NSG (the one with the default rules) is evaluated first, it blocks the inbound RDP connection.
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