Hi I bought a domain with dreamhost. example.com. Now I want to redirect it to one of my azure VM at https://example.cloudapp.net. Apparently it needed to change the protocole as well. Based on my research it can't be done using CNAME. Am I missing something? Is there any other method I can user to do that?
Your research is right. You cannot redirect with a CNAME because DNS does not work this way. You would need some sort of web server to accept the request and rewrite the URL to HTTPS.
Some domain registrars allow you to do a redirect on their web server if you use their name servers. DreamHost may provide this service but I have never used them so I cannot say.