You need to do either Azure AD registered (starting Windows 10 20H1), Azure AD joined or hybrid Azure AD joined to your personal computer that is trying to connect to this Azure VM. See the Supported Azure regions and Windows distributions.
Remote connection to VMs joined to Azure AD is only allowed from
Windows 10 PCs that are either Azure AD registered (starting Windows
10 20H1), Azure AD joined or hybrid Azure AD joined to the same
directory as the VM.
For more reference, you may want to know find the Azure AD Join Type with the command dsregcmd /status
.
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