是的，你可以通过python subprocess模块进行监控。
您也可以check microsoft offical documentation of Batch job
您可以尝试此类型代码：

import subprocess
import select

# batch file
batch_file_path = 'path/to/batch/file.bat'
process = subprocess.Popen(batch_file_path, stdout=subprocess.PIPE, stderr=subprocess.PIPE)

# Monitor the status
while True:
    # Wait for output
    streams = select.select([process.stdout, process.stderr], [], [], 1.0)[0]
    for stream in streams:
        output = stream.readline()
        if output:
            print(output.strip().decode())

    # Check if the process
    if process.poll() is not None:
        break

if process.returncode == 0:
    # Your code to shutdown the Azure VM
    pass
else:
    # Your code to handle error
    pass