Q:

Does Azure Bastion with AAD Credentials

I recently created a Azure Bastion service and Azure VM in my organisation's Subscription.  When I try to connect to the VM via the Bastion using local Admin ID it worked.  However the same is failing when I try with my Azure AD ID.  Is this a limitation? 

A:

There are two (2) authentication schemes:

Azure Active Directory (AAD) authentication: Azure Bastion does not currently support authentication using AAD-based (cloud) users.  This request is known and prioritized as "high" by the product team.  See this [link][1] for details in user voice.  The advantage of this approach is to provide full cloud-based authentication, with no dependency on on-premises technology (in this case, Active Directory).  One workaround for now is to expose a jumpoint on a vNet until availability of this feature. 
Azure Directory (AD) authentication: Azure Bastion does currently support authentication using AD-based users (Windows AD User).  Since this is a managed "Active Directory" provided by Microsoft, the use of Azure AD Connect is needed to sync this domain (and users) to Azure Active Directory (AAD).  The drawback of this approach is to continue building using on-premises technology (Active Directory).