For personal host pools, your disaster recovery strategy should involve replicating your resources to a secondary region using Azure Site Recovery Services
Vault. If your primary region goes down during a disaster, Azure Site Recovery can fail over and turn on the resources in your secondary region.
Protecting Windows Virtual Desktops Session Hosts Using Azure Recovery Services Vault.to allow you to protect WVD Session Hosts while using Persistent
Desktop scenarios, where backups are important since data may reside in the virtual machine itself. This also very important on some types for regulatory compliance scenarios, where for example you're required to keep the user's data for X amount of time.
To configuring backup with the Azure Service called Backup and Site Recovery(OMS) provides the backup/snapshot infrastructure for VMs in Azure.
Reference:
https://docs.microsoft.com/en-us/azure/virtual-desktop/disaster-recovery-concepts
https://paulomarquesc.github.io/Backing-up-Session-Hosts-Using-Azure-Recovery-Services-Vault/