Hi,
If you want rdp to work with Azure accounts that have mfa enabled you need to create a CA policy and exclude Azure Windows VM Sign-In app from MFA.
More details on:
https://learn.microsoft.com/en-us/azure/active-directory/devices/howto-vm-sign-in-azure-ad-windows#mfa-sign-in-method-required
But there are also some other ways to have strong authentication with windows logon.
Hope this helps!