Microsoft has accepted that it is a limitation in Azure.
You can try steps provided by the next link.
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Hi, Whenever computer name shows Not Available i can't connect to my VM using RD gateway it keeps on says trying to connect but not. After I restart the VM then computer name shows in azure portal and also able to connect
How to come out of these kind of issues ? someone pls help to fix these kind of issues.
Microsoft has accepted that it is a limitation in Azure.
You can try steps provided by the next link.