Is it a good choice for complex programs to run in web scheduling or better for classic VMs?
Yes , it is a good option to use PaaS - Platform as a Service - to run complex programs. Especially if there is no need for micro configurations in the infrastructure.
I would only recommend using VM if there is a real need to perform some configuration on the hosting server where a hosting platform will not allow you.
I always think of segregation of responsibilities when asked about using a platform, or setting up a VM. It is not the responsibility of the developer to maintain the environment in which the application will be hosted. It is only responsible for the application itself. So we leave that responsibility to Azure, just provision the service and cosuma, which is where there will be value in your solution.
Using Azure Scheduler is not possible, for it only manage jobs type HTTP .
To do what you need, it's best to use Azure Functions . With it you do not even have to compile a program - you can even, without problems - you just hosts the piece of code that needs to be executed - be it C #, F #, Node.js, Python, PHP, batch, bash or any executable.
It allows you to configure it to a TimeTrigger , so it will run periodically, according to what you set. See this example of how to create event processing in Azure .
See here create your first Role in Azure
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UPDATE
You can limit resource consumption by using a Dynamic Service Plan .
See here how to size your Azure Function consumption plan .
