I had a problem this week when connecting to Azure VM’s.  When connecting by RDP parts of the screen were blocked out by black squares and rectangles like the image below.  This only happened when connected to Azure VM’s, I did not have the problem with VM’s in any of my other datacenters.

The fix was to disable bitmap caching on the RDP client and reconnect.  It was odd that this only happened to Azure VM’s.  I suspect that is more of a coincidence than specific to Azure.