This is a continuation of one of my past blogs. Finally this came out, and I am excited about this announcement. The new Azure Application Proxy for RDS permits the clients to use App Proxy with RDS to reduce the attack surface of the RDS deployment by enforcing pre-authentication and Conditional Access policies like requiring Multi-Factor Authentication (MFA) or using a compliant device before users can access RDS, if using conditional access. App Proxy also doesn’t require to open inbound connections through your firewall, Yeah!!!.
To use the RDS web client with App Proxy, first you need to upgrade to App Proxy version, 1.5.1975.0. If you haven’t already, you will need to configure RDS to work with App Proxy. App Proxy will handle the internet facing component of your RDS deployment and protect all traffic with pre-authentication and any Conditional Access policies in place. For steps on how to do this, see my previous blog.
@M365Talks 
Did you manage to get the RDP file to work via this route? only web based Remote desktop works for us.
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Hey Jack. Yes, It actually worked. But at the experience is not the desired. To use the regular RDS client you need to use IE or Edge in IE compatibility mode. The other option is to use RD Web Client.
For more information check the following documentation. https://docs.microsoft.com/en-us/azure/active-directory/manage-apps/application-proxy-integrate-with-remote-desktop-services
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