Hi @Sai Kumar,
Thanks for contacting Microsoft Q&A platform.
beside configuring the NSG for the new port of RDP the OS needs to be configured listening on the new port RDP should listen as well.
You can get this done by PowerShell executed on the VM:
$newRDPPort = "8080" # new listening port for RDP
Set-ItemProperty -Path “HKLM:\SYSTEM\CurrentControlSet\Control\Terminal Server\WinStations\RDP-TCP\” -Name PortNumber -Value $newRDPPort
New-NetFirewallRule -DisplayName “RDP New Port” -Direction Inbound –LocalPort $newRDPPort -Protocol TCP -Action Allow
Hope This helps you.