You can try below steps to disable the Privacy settings screen on VM startup.
1, Login Azure VM as adminstrator.
2, Press win+r and run gpedit.msc to Open the Local Group Policy Editor.
3, Navigate to Computer Configuration\Administrative Templates\Windows Components\OOBE In the left pane of Local Group Policy Editor
4, Double click on the Don't launch privacy settings experience on user logon policy to edit it
5, Select Enabled to disable Privacy Settings Experience at Sign-in , click on OK,
If Local Group Policy Editor is unavailable in you Azure Vm. You can try edit the registry to disable it.
1, Press win+r and run regedit
2, navigate to HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows\OOBE
3, Change DisablePrivacyExperience DWORD to value 1
See this blog for more information.
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