Remote Desktop ActiveX control does not work when connecting to Azure VM -- why??

I am trying to use the Remote Desktop Protocol ActiveX control to connect to an Azure VM, but it doesn't work. OnDisconnect is called with discReason=1

I tried this sample:

https://www.codeproject.com/articles/43705/remote-desktop-using-c-net

And I also tried my own code, here:

privatevoid button3_Click(object sender,EventArgs e){
        axMsRdpClient81.Server="IPADDRESS";
        axMsRdpClient81.UserName="USERNAME";
        axMsRdpClient81.AdvancedSettings9.ClearTextPassword="PASSWORD";

        axMsRdpClient81.AdvancedSettings9.EnableCredSspSupport=true;
        axMsRdpClient81.AdvancedSettings9.EnableAutoReconnect=true;
        axMsRdpClient81.AdvancedSettings9.AuthenticationLevel=2;
        axMsRdpClient81.AdvancedSettings9.NegotiateSecurityLayer=true;

        axMsRdpClient81.OnDisconnected+=AxMsRdpClient81_OnDisconnected;

        axMsRdpClient81.Connect();}

Both fail to connect.  Any ideas why?  Hoping someone from MS will know the answer.