I am glad to know that you were able to identity the exact cause and solution. I am reposting this as answer for other users to navigate to this solution better. As an original poster on this thread only you have the option to mark this resolution as answer
Issue Description: Unable to RDP to VMSS instance
Cause: Source IP range was incorrect. James Mikolajczyk has confirmed that the change the source IP address range it to MyIpAddress and all is working now.
Please go ahead and mark this as an accept answer for the benefit of the community