I just noticed this happen to a VM I was connected to this evening.
All I did was change the primary DNS from automatically assigned to manual, gave it a DNS server IP, and provided a backup secondary IP, and my RDP session was instantly dropped. Other HTTPS traffic to the box stopped too.
I had to restart the VM in Azure to get connectivity back. This VM was deployed using the classic portal, but I’ve seen reports of it happening on newer ARM deployed VMs too. Here’s a thread with others that have found the same issue.
Hopefully Microsoft will resolve this soon.