Hidden away here in the Azure Backup FAQ, Microsoft states:
"When a new policy is applied, schedule and retention of the new policy is followed. If retention is extended, existing recovery points are marked to keep them as per new policy. If retention is reduced, they are marked for pruning in the next cleanup job and subsequently deleted."
This means you will delete older backups when the policy is changed. Additionally, you keep existing backups according to your new policy.
How to change your policy
- Log into the portal and find your Recovery Services Vault.
- Click on the vault, then find 'Backup policies' in the menu blade.
- Click '+ Add', select a policy type, fill in the policy details and click Create.
- Once the policy is created, go back to the main Recovery Services Vault tab and click the vault.
- Find 'Backup Items' in the menu blade.
- Click Azure Virtual Machine.
- Click on the VM you want to change.
- Click the settings button.
- Click 'Backup Policy'
- Choose the new backup policy and click Save.
Once the Deployments show as succeeded in the notifications area, go back to the 'Backup policies' blade from the start, click the policy, then click 'Associated Items' to check that the correct virtual machines have been assigned this policy.