Safety of Azure VM for analysis

I received a text message with a generic link from a scammer pretending to be a bank (not even my bank). I would like to visit the link an analyze what happens. I assume it would be safe to do so on an Azure Windows 10 VM, but I would rather be safe than sorry.

Would this be a good approach? And/or are there better ways to do this?
I am thinking of doing it this way because I wouldn’t care if it ruins the system (it probably won’t cause it’s a phishing attempt) and I (think?) am anonymous.

Thanks in advance for your insights!