Hello,
To allow Remote Desktop traffic to reach your Linux VM, a network security group rule needs to be created that allows TCP on port 3389 to reach your VM.
Following PS cmdlet can do that
az vm open-port --resource-group myResourceGroup --name myVM --port 3389
From Ubuntu VM, check if the ports are listening
sudo netstat -plnt | grep rdp
Check for any indications from log: tail -f /var/log/syslog
Please mark as "Accept the answer" if the above steps helps you. Others with similar issues can also follow the solution as per your suggestion
Regards,
Manu