Azure LEvel

Enable Azure Insights to capture RTT for the AVD Spin Up as well as RTT for the networking

VM LEvel

At the NIC level, Enable VM Accelerated Networking if the VM Type (and OS) supports it

FW LEvel

Ensure that Deep Packet Filtering is not causing the latency

Ensure that  the outbound route to the internet is not causing the latency (if it is via a PA FW for example)