Here is the documentation on how to check those logs. I recommend using the search function for “zip” or “exe” and making sure it was able to correctly identify and unzip the app.
You can also add an RDP rule to the Network Security Group so you can remote desktop into the problematic instance and see what it looks like locally. If it appears to be operating okay but the stream doesn’t connect, you definitely need to set up a TURN service and provide the credentials for that in the Networking tab. Many corporate networks don’t allow WebRTC connections to be made directly, which is the default behavior.