I know the "problem", this is because you are creating a VM on Azure with a CORE version.

Microsoft creates 2 version for the same server - operating system:

1. With Desktop Experience. Is easy to use (with the mouse) but is heavier than the Core Version.

2. Core Version (PowerShell or CMD) Experience. A cleaner version like the "Linux Servers".

If you are beginner managing servers, I recommend you avoid using Azure Images like "Win2022AzureEditionCore" and learn about basic PowerShell and CMD commands and practice with the WindowsGUI like "Win2022AzureEdition" note that I don´t to involucre the word "Core".

So If you want to learn about the differences between Core and DesktopExperience or learn about the Core Edition please see this video and I hope to help you.

Bye :3 .