and the password i have is denied
The default configuration for most SSH servers is to deny password authentication for the root user.
You may need to change the configuration, or create an unprivileged user and escalate your privileges with sudo or su, or you would use public key authentication.
Then get logged in. It's not rocket science. You have console access and a tutorial which tells you how to enable SSH access. You just have to read and understand it. It is highly unlikely that you did that in the short time between @H6G's comment and your response.
Well, this is a different problem. OP was asking about OpenSSH Key Management on Windows Client.
Now he has issues with the SSH Server.
To be fair: Cloud providers often optimize their images for easy access and in the case of Microsoft for Client OS integration.
It is not necessary to play with the SSH daemons on Azure at all, meanwhile here you could even start from your own ISO image.