A fully managed end-to-end service for digitally signing code, documents, and applications. (formerly Trusted Signing)
The docs do cover this, in the Quickstart. Any change after a validation is created means a new identity validation request, and it affects the certificates tied to it.
For the failure, one line on that page is worth checking:
"Before starting the identity validation process, ensure that all billing account information, including legal name and billing address details, exactly matches the information you intend to appear on your Artifact Signing Public Trust certificate profile."
Your Azure billing account's legal name and address isn't the same thing as the payment method. If the billing account still shows the old city, that's your mismatch.
Also from that section: documents you supply must have been issued within the last 12 months.
On SmartScreen, the FAQ ties reputation to the file hash rather than the certificate, which would mean you keep what you've built up. It doesn't say that outright though, so I wouldn't bank on it.
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