Because of a protocol error (code 0x112d), the remote session will be disconnected when attempting to RDP to an Azure Virtual Machine

This morning I got an email from a customer stating that when they try to RDP to a Jumpbox Virtual Machine (VM) in their Azure environment they were receiving the error message shown below.

I attempted to connect to the same jumpbox and I received the same error.  The first thing I did was to login to the Azure portal and verify that the Inbound rule on the Network Security Group (NSG) was still in place.

That looks good, so my next step was going to be to download a new RDP file and see if that worked (and if it did to compare the two files to see what changed).  On the connect to Virtual Machine page I noticed the message that is highlighted below.

I went to the default-allow-rdp rule that I showed above and changed the destination to the Public IP address of the VM.  That didn’t do anything besides get me a quicker error message.  I then changed the destination to the private IP address of the server.  That also didn’t do anything.  I then changed the destination address back to Any, and it worked!

Even a blind squirrel finds a nut!