I think the user account unlocking you need to do on azure AD not in horizon.
No. of failed login attempts is by default set to 3 and is on can be changed on the connection broker:
> Connect to View ADAM database as per https://kb.vmware.com/s/article/2012377
> Set the value "cs-loginattemptslimit=10" to the attribute pae-NameValuePair in the CN=Common object under OU=Global,OU=Properties - this will set the number of max login attempts to 10.
Then do the same on vCenter server:
From the vSphere Web Client go to Administration >> Single Sign-On >> Configuration >> Policies >> Lockout Policy. Click Edit. Set the Maximum number of failed login attempts to 10 and click OK.