Im going to start from the very beginning in hope that it helps people understand the issue better...
I started with an Azure VM running Windows Server 2016 (Lets call this VM: VM1) which was not connected to a domain controller - At this point I could RDP into VM1
I copied the OS disk and data disk VHD's of VM1 to another resource and created a new VM (VM2) from these VHD's - At this point I could RDP into VM2
I attached VM1 to the domain controller hosted on another machine, rebooted VM1 and could still RDP into VM1
I shut down VM1, and copied the OS disk and data disk VHD's to another resource and created a new VM (VM3) from these VHD's - However I am unable to RDP into VM3.
I have tried the various generic troubleshooting tips from Azure when having problems establishing an RDP connection and have not had any luck.
Can anyone solve this problem?