I need to access GUI Console to a Windows VM in Azure too ( The use case is to test Windows Hello Pin deployment , which can only be setup from local GUI console, not RDP, not serial Console ).
@Kam Wai Chan , you can use VNC server as a workaround . I tried the free tightVNC and it's working fine, and I can see Windows Hello options from the gui console.
you can download and install it from https://www.tightvnc.com/download.php , make sure install the server, it will listen on port 5800 and 5900, you will need to make sure Windows firewall and Azure network security group allow the connection from your source IP address.