Hello @Cloud_Geek_82 · Thank you for reaching out.
For scenarios with Remote Desktop Service and Azure AD Application Proxy working together, both the RD Web and RD Gateway endpoints must be located on the same machine and with a common root. RD Web and RD Gateway are published as a single application with Application Proxy for SSO as documented in the requirements here.
Also, make sure that you have completed all the steps required to joint RDS and Application Proxy scenario as documented here: https://learn.microsoft.com/en-us/azure/active-directory/manage-apps/application-proxy-integrate-with-remote-desktop-services#deploy-the-joint-rds-and-application-proxy-scenario
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