Hi @Matthew Roberts,
Welcome to the Microsoft Q&A Platform! Thank you for asking your question here.
We understand you're having trouble connecting to the Azure VM. Based on the error details you provided, I've outlined troubleshooting steps that should help resolve the issue.
It is mostly like a network issue.
Please ensure the Windows VM is running in Azure portal. If yes >> The VM got a public IP assigned? If yes >> Are there Network Security Groups (NSG) associated (associated to VM and/or Azure Virtual Network)? If yes >>Are there Security Inbound Rules defined for RDP Port 3389 allow? If not, please add port 3389.
Please try reconnecting to the VM.
If you have any further queries, do let us know.