If you only intend to connect to the Windows Server 2019 VM for remote administration purposes then you can uninstall RD Session Host Role Service using Server Manager or via powershell command. Once RDSH is uninstalled (and server restarted) the license message you are receiving will be gone.
If you intend to connect and use it for more than just remote administration then you will need to install RD Licensing server, purchase RDS CAL(s), and configure server to point to the RD Licensing server. If this is what you need please let me know in a comment and I can provide more details.
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