Hello @mc999 ,
Welcome to the MS Q&A Forum.
Could you please provide more details about the issue you are facing?
Are you able to connect to your app from the remote desktop? Do you get any specific failure? What reason of the failure do you see in the sign-in logs?
You could find more details on how to enforce MFA for Azure Virtual Desktop by looking into this article=> Enforce Azure Active Directory Multi-Factor Authentication for Azure Virtual Desktop using Conditional Access.
As, example,
Azure AD joined session host VMs
For connections to succeed, you must disable the legacy per-user multi-factor authentication sign-in method. If you don't want to restrict signing in to strong authentication methods like Windows Hello for Business, you'll also need to exclude the Azure Windows VM Sign-In app from your Conditional Access policy.
Hope above answers your questions and concerns.
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Sincerely.
Olga Os