@jnwang2020, sorry to hear that you are having issues using RDP to connect to your VMs. I have a few questions to understand your scenario better and included a few tips that may help:
1.) Are you using Linux or Windows VMs? To help with setting up RDP with Linux, refer to the following doc: Enable graphical remote desktop for Linux in Azure Lab Services - Azure Lab Services | Microsoft Doc...
2.) Is the machine that you are using RDP from connected to a VPN? There sometimes can be issues with VPNs - I recommend to try connecting from machine that is *not* connected to a VPN.
3.) Is your lab account peered to a VNet?
4.) Could a firewall be blocking your RDP connection? Firewall settings for Azure Lab Services - Azure Lab Services | Microsoft Docs
Also, sometimes it can take several minutes for a VM to fully start before you can successfully connect using RDP. Please trying to wait up to 5 minutes to ensure this isn't the issue.