Connecting to Azure VM


I have been using Zerotier for quite some time now and I love it. I recently created a new VM in Azure (the first one) and installed Zerotier on it. From that VM in Azure, I can ping out to my other Zerotier endpoints AND connect to those same endpoints via RDP.

From my local PC (zerotier endpoint), I can also ping the Azure VM. However, I cannot RDP to the Azure VM. I am thinking it must be some sort of routing or firewall issue. Does anyone have experience doing this with an Azure VM?