As TP-MVP mentioned in the previous response, there is no option to record a session in AVD. This can be done via 3rd party tool like Ekran Systems.
Check this link from TechCommunity on your ask (WVD Session Recording).
Found this old link, It does mention shadowing with qwinsta. Not sure if this still works.
Hope this helps.
If you need further help on this, tag me in a comment.
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