Verify your Virtual Network (VNET) DNS settings

Open the Azure Portal
Go to Virtual Networks
Open your Virtual Network (if you deployed the Windows VM with AD, the VNET will be named adVNET)
Click on DNS Servers
Validate that a custom DNS server IP is filled in, and that the IP is your Domain Controller.
If you deployed the Windows VM with AD, the IP address should be 10.0.0.4)

Validate Virtual Network DNS settings