To implement File Integrity Monitoring (FIM) for a Windows Server Azure VM with Microsoft Defender for Servers Plan 2, enable Defender for Servers Plan 2, then navigate to Defender for Cloud > Environment settings > relevant subscription, toggle File Integrity Monitoring to "On" and select Edit configuration to choose a Log Analytics workspace or create a new Workspace. Next, configure recommended and custom rules under the FIM settings by enabling them and selecting the desired change types for files and registries.
Reference:
https://learn.microsoft.com/en-us/azure/defender-for-cloud/file-integrity-monitoring-enable-defender-endpoint