The within-Visual Studio Azure tooling support has really improved since I used Azure properly about a year and a half ago - you can get away with not accessing the web portal for a lot of things. However, there's just one gotcha with the automatic RDP user configuration that tripped me up today:
If you use a username longer than 20 characters, you won't be able to RDP with those settings.
Visual Studio unfortunately doesn't validate this for you, and when you attempt to RDP with the too-long username you've configured, you'll just be told that the password doesnt work / you can't log in.
So make sure when you're configuring accounts for RDP to your Azure instances that your usernames are 20 characters or less!