There is not currently and Azure supported RDP client for Virtual Desktop. The recommendation would be to utilize the web client to connect. There are some third-party workarounds available, but these are unsupported on the Azure side.
Hopefully this feature will be released for you in the future. For product feedback and feature requests I will refer you to our feedback forum. This allows the community to add their voice and upvote popular ideas. The forums are monitored and responded to by our product teams. https://feedback.azure.com
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