In certain conditions, when you create a MCS catalog, the master image copy operation is skipped. As a result of this, the OS disk for the VDA is missing. Furthermore, on reviewing the CDF traces from the DDC, you would notice the below in the traces --
[AzPv]: [8027e32fc12d] CreateMachineInternal - Status context=85816587-a8fe-4c2e-b588-f23e898718c2 parentContext= arguments=requestedMachineName=TEST001, provSchemeId=e668e613-8908-4532-a612-38121c10d27d, usingLegacyApi=False, machineName=TEST001, transformedMachineName=TEST001, imageId=TEST-RG/Master-osdisk, region=North Europe, vnet=vnet-01, machineSize=Standard_B2ms status=Creating managed OS Disk TEST001-osdisk-w70b1 StorageType=Premium_LRS CachingMode=ReadWrite DiskAttachmentRequest.Role=DiskRole.BaseDisk.Persistent
[AzPv]: [8027e32fc12d] CreateMachineInternal: OS Disk created: duration=00:00:00:00000, machineName=TEST001