Streaming uses UDP ports 27031 and 27036 and TCP ports 27036 and 27037. Please make sure Steam can listen on these ports in your firewall software.
When the ports are open on both the VM (Windows Defender Firewall) and Azure (Network Security Group) the overall streaming performance is much better, since direct connection is made between your PC and remote bypassing Valve's proxy.
Steam Remote Play requires specific ports open:
When the ports are open on both the VM (Windows Defender Firewall) and Azure (Network Security Group) the overall streaming performance is much better, since direct connection is made between your PC and remote bypassing Valve's proxy.