When you say you enabled it through Azure Policy, do you mean you created the Policy assignment or that you can actually confirm that the VM is configured this way?
If you can confirm that the VM is actually configured, then the Policy worked just fine, and the issue is something else.
If the machine is not configured, then I can think of the following things:
1: When you create a policy assignment, it typically only affects new resources. To apply it to existing resources, you'll need to set up a remediation task. Have you created remediation tasks for the existing resources?
2: Which policy effect have you used in your policy? I can only find one relevant built-in policy in Azure and that one only has an audit, deny, disabled effect. None of them will configure your resources (VMs). But you should confirm that you used a policy effect that can change the config.