RobCMCI have got it to work now.
My deployment was actually completing successfully (using Azure AD Domain Services), but there was 2 root causes why it was not working:
1. Get-RdsSessionHost reported status as "unavailable". Turned out, that when re-deploying you must use another prefix for the rds hosts according to https://github.com/MicrosoftDocs/azure-docs/issues/27799
2. Only 1 of 2 Azure AD account can login to the Win10 virtual desktop. The second user needs to reset password in Azure AD, so the password hash can sync back to Azure AD Domain services, which is required due to hash format according tohttps://docs.microsoft.com/da-dk/azure/active-directory-domain-services/active-directory-ds-getting-started-password-sync#task-5-enable-password-hash-synchronization-to-your-managed-domain-for-cloud-only-user-accounts.