The Azure VM on startup may get a 169.254 IP and this causes the vm to lose any rdp connections it may have.
The VM's also do not respond to ping or get DNS addresses assigned.
Solution is to add this registry key.
Find this registry key:
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\Tcpip\Parameters
Click Edit > New, and click DWORD Value. Enter ArpRetryCount.
Right-click the ArpRetryCount registry entry and click Modify. In the Value box, type 0 and click OK.
Since you wont have access to the server you will have to use Bastion in Azure to login.
Or you can use the Azure serial console to connect and add the registry key via command prompt.
REG ADD HKLM\SYSTEM\CurrentControlSet\Services\Tcpip\Parameters /v ArpRetryCount /t REG_DWORD /d 0