To enable the RDP port in an NSG, follow these steps:
Sign in to the Azure portal.
In Virtual Machines, select VM1
In Settings, select Networking.
In Inbound port rules, check whether the port for RDP is set correctly. The following is an example of the configuration:
Priority: 300
Name: Port_3389
Port(Destination): 3389
Protocol: TCP
Source: Any
Destinations: Any
Action: Allow
Reference:
https://docs.microsoft.com/en-us/azure/virtual-machines/troubleshooting/troubleshoot-rdp-nsg-problem