Hi Forrest Wu,
Thank you for reaching out to the Microsoft Q&A platform.
Based on your question description we understand that you are unable to connect to the Windows Virtual Desktop.
Here are some steps you can take to troubleshoot to follow:
Firstly, please ensure that you have the latest version of Remote Desktop for Windows:
Make sure that the user account you’re using has the necessary permissions to access the virtual desktop with proper role-based access control (RBAC) permissions.
Check if a rule in a Network Security Group is blocking traffic to or from a virtual machine. You can also check the security group rules to ensure inbound "Allow" NSG rule exists and is prioritized for RDP port (default 3389).
Refer the below attached documentation link:
https://learn.microsoft.com/en-us/azure/virtual-desktop/troubleshoot-client-windows
Please check this and let me know if you are still facing any issue.
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Thank You.