Disable direct RDP access to your Azure Virtual Machines from the Internet. After direct
RDP access from the Internet is disabled, you have other options you can use to access
these virtual machines for remote management:

• Point-to-site VPN
• Site-to-site VPN
• ExpressRoute

References:

1. https://docs.microsoft.com/en-us/azure/security/azure-security-network-security-best-practices#disable-rdpssh-access-to-azure-virtual-machines