Power management of the DaaS for Azure machine catalog is set to "always on",
But after disconnecting the session, the machine may be shut down. 

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Run the following PowerShell command

1. Get and install remote Powershell sdk from the following url
https://docs.citrix.com/en-us/xenapp-and-xendesktop/service/sdk-api.html

2. Launch powershell.

3. Run the following command to login.
asnp citrix* Get-XdAuthentication

4. Run the following command to set parameter to delivery group.
Set-BrokerDesktopGroup -Name "delivery group name" -PeakExtendedDisconnectAction Nothing
Set-BrokerDesktopGroup -Name "delivery group name" -OffPeakExtendedDisconnectAction Nothing

Caution:  Replace delivery group name with the actual name of delivery group.
 

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Problem Cause

PeakExtendedDisconnectAction： The action to be performed after a second configurable period of a user session disconnecting in peak hours. Possible values are Nothing, Suspend, or Shutdown.

OffPeakExtendedDisconnectAction：The action to be performed after a second configurable period of a user session disconnecting outside peak hours. Possible values are Nothing, Suspend, or Shutdown.
 

SDKs and APIs
https://docs.citrix.com/en-us/citrix-daas/sdk-api.html