If you are using the SQL Express version in your Azure VM then you need to take regular backups in the VM for your SQL DB. This article will help you to understand how to do it.
In SQL Standard version or higher we can use SQL Agent to configure a job to generate the DB backup. But if you are using Express version of SQL then you cannot use SQL Agent instead you can use any alternate method to generate the SQL DB backups.
The following method shows how we can generate DB backups using a bat file configured in Windows Task Scheduler using a Stored Procedure.