Is it possible to create one Windows Server 2019 LAB Machine where I run 3-4 VMs on Hyper-v? Is it supported + what about licensing of e.g Windows 10 running there. Is it possible to configure virtual switches like in on-premise environment?
Nested virtualization on Azure Lab Services
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Yes, it is possible.
But, the machines size is limited unless you upgraded to pay-as-you-go subscription. In general the guest OS license is bring your own.
Under hyper-v, there are some windows guest machines but it uses up over 40GB of the azure lab machines. I don't think you can create more than 1 nested windows machines.
In the context of Azure Lab Services, yes it is possible to run Hyper-V client VMs on your template and lab VMs. When using Hyper-V in Azure Lab Services it is important to remember.
There are some example classes that you might find helpful. The Ethical Hacking class template using nested virtualization to have Metasploitable and Kali Linux client VMs on the same NAT network. There is also a Networking with GNS example class that shows you how to use GNS3 to virtualize and test on-premise type networking environments.