This warning will be shown on the Azure portal for the Azure VM, if the VM was only shut down from within the VM via the RDP session. The second step to totally shut down the VM, is to go to the Azure portal and choose the Stop option at the top of the Essentials blade or use PowerShell to stop the machine. This will deallocate the VM, and incur no more compute charges.
When the VM is shut down from within the Azure VM via the RDP session, all the applications and services within the VM are shut down in sequence before the VM is stopped.
This IS the correct way to shut down an Azure VM, rather than just ‘pulling the plug’ by using the Azure Portal. However, if the machine is not required then proceed to Stopped (Deallocated).