Bypassing the Azure Portal and going straight to PowerShell will provide you with more options for managing Microsoft's cloud.

To connect Windows Server machines to Azure, you can either use Azure Arc, Microsoft PowerShell, or Windows Admin Center. Check out this guide to know more.

If you cannot connect to an Azure VM using RDP, ensure that you are using the correct credentials, and then follow the solutions provided here.

By using a single tool like PowerShell, you can access your data wherever it is stored. It does not matter if it is in the cloud in an Azure SQL database or in an on-premises MS-SQL server, MySQL or ...