Perform the following in the Azure Console:

1. Sign in to the Azure portal, and then select the Virtual Machine scale sets.
2. In the Support + Troubleshooting section, select Boot diagnostics, then select the Settings tab.
3. In Boot diagnostics settings, change the status to On, and from the Storage account, drop-down list select a storage account.
4. Save the change.

References:

1. https://docs.microsoft.com/en-us/azure/virtual-machines/troubleshooting/boot-diagnostics