You can record the graphical sessions for connections made to virtual machines (RDP and SSH) via the bastion host if you have activated the Azure Bastion Session recording capability. Recorded sessions are saved in a blob container inside your storage account (via SAS URL) once the session has been ended or disconnected. You can access and examine your recorded sessions on the Session Recording tab of the Azure portal once a session has ended. The Bastion Premium SKU is necessary for recording sessions.