Network Watcher Connection Monitor enables you to configure and track connection reachability, latency, and network topology changes. It helps reduce the amount of time to detect connectivity problems. The returned results can provide insights into whether a connectivity problem is due to a platform or a user configuration problem. This is not used in cases where we need to inspect for all the network traffic from one vm to another vm.
On the other hand Network Watcher packet capture allows you to create capture sessions to track traffic to and from a virtual machine. So in this scenario we need to use Network Watcher packet capture Reference:
https://azure.microsoft.com/en-in/updates/general-availability-azure-network-watcher-connection-monitor-in-all-public-regions/#:~:text=Network%20Watcher%20Connection%20Monitor%20helps,or%20a%20user%20configuration%20problem
https://docs.microsoft.com/en-us/azure/network-watcher/network-watcher-packet-capture-manage-portal