It seems there is an issue with the latest version of Azure Storage Explorer (V.1.32.0 , I was able to repro the same)
Please try the earlier version i.e. V1.31.0
You can find all the versions from below link:
https://github.com/microsoft/AzureStorageExplorer/releases
Download from Assets section:
After installing v1.31.0 able to open it successfully in the Azure VM:
Regards,
Shiva.