There are a couple of appraches I can think of off the top of my head (I do not have access to a suitable lab at the moment to confirm).
- When applying GPOs using security group filtering you need to ensure that the computer knows it has been added to the group - this may mean a reboot or using Klist purge to force ticket renewal for the system session (0x3e7 from memory but verify)
- As the setting is a user setting - you may need to enable loopback processing
https://learn.microsoft.com/en-us/troubleshoot/windows-server/group-policy/loopback-processing-of-group-policy - Apply the setting to the user BUT use a WMI filter to determine if the machine they are currently on is in Azure - If so then apply if not then do not apply - this may be the better option as you do not need to manage the group for Azure computers (adding and removing as you spin up and down VMs)
Good luck