Direct RDP to session host is one of the new security capabilities you can use with Windows Virtual Desktop, which will be available in public preview by the end of the calendar year 2020.
As mentioned in below annoucement, "You can track the progress of these upcoming public previews in our roadmap page. If you are attending Microsoft Ignite conference, you can learn more about these features and get your questions answered in our sessions and you can always reach us anytime at the Windows Virtual Desktop Tech Community page. You can also register here to attend our upcoming webinars."
Announcing new management, security, and monitoring capabilities in Windows Virtual Desktop
Please refer to this video to enable secure remote work quickly with Windows Virtual Desktop.
Also, you could raise more questions or share feedback use below Tech Community.
Windows Virtual Desktop
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