I have removed the machine from the AzureAD because although I sort of succeeded it was not really workable and thus I decided I would try again maybe in a few months.
So I don't have a working example anymore. Nevertheless I can tell you that what worked for me. In the RDP dialog I filled in the username in the email format, as in
[email protected] and the corresponding password. Then I would get to the login screen of the VM with an RDP error 13031 "you can't sign in with a user ID in this format". From this screen I would fill in the username as AzureAD\FirstNameSurname and the same password and then I would be logged in. Weird, but it worked :-)
Another peculiarity was that if I would login this way the mouse would not always work correctly, eg clicking the start button would register as a click on the Edge button pinned to the taskbar. This did not happen in a console session with the same VM or afterwards now that I have taken it out of the AzureAD.