It is the Azure/cloud variation of Remote Desktop Services (not to be confused with Remote Desktop).
Essentially, it is a virtualized installation of Windows that users can simultaneously access via Remote Desktop to access applications and network resources that normally would not be available to the physical standalone machine.
Think of it like this;
On any computer, a user can log in and access their own personal desktops. All users can access the applications on this computer, and customize the desktops as they see fit. The downside to this, is that only 1 user can use the system at a time (although many users can be logged in simultaneously, only 1 can be actively using it). Remote Desktop Services allowed the system to be virtualized, and users accessed their 'virtual desktops' using Remote Desktop to access the applications on the virtual system. RDS 'virtualized' the desktop experience to allow multiple users to use the system simultaneously. The RDS system would be a virtual machine running on a physical server somewhere within the organization. Moving this physical server to the Azure platform, RDS was rebranded as "Windows Virtual Desktop"
At least, this is how I understand it.