@Manoj Chauhan Thanks for posting your query on Microsoft Q&A.
I was able to connect with the AVD Product team on this and they recommended that you have a support case logged with Citrix as App Protection is an add-on feature for the Citrix Workspace app.
Reference doc: https://docs.citrix.com/en-us/citrix-workspace-app/app-protection.html
There are certain limitations for App Protection, especially when it comes to "double-hop" scenarios, which is the case here.
Hope that helps.
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