EDIT: Please see UPDATE 2 below.
I have the same problem @Karlie Weng .
When I try to connect via RDP to my company's network (using an RDP gateway), it becomes unusable as soon as I connect an external display to a brand-new MacBook Air. Disconnecting the external display renders RDP fine again. So it works correctly only if just the integrated display is used. I also tried Microsoft Remote Desktop Beta (10.6.2, 1874) without success.
However, I can connect to a local Windows PC just fine even with an external display (no RDP gateway in-between).
3rd-party clients like Jump Desktop or Royal TS do not cause such problems. Also, connecting to my company's network via RDP on a Windows PC works as expected.
UPDATE 1 (2020-04-19): I use an external LG 4K monitor. I have tested it with a Sony 4K TV now (actually with an AVR that is connected to the TV) and it works fine. So it seems to be related to the actual monitor somehow?
UPDATE 2 (2020-04-20): I am using a USB-C hub through which I connect my mouse, keyboard and display. I have found out now, that the issue occurs only when the mouse (Logitech G402) is plugged-in. It doesn't even matter if there is another external monitor connected. Even by unplugging everything else from the hub (i.e. only connect the mouse; no keyboard or display), it does not work. I tried with another mouse and it works as expected. Is it possible that the RD gateway somehow dislikes the mouse? Or the polling rate or something like that? I also tried to connect the mouse directly to the USB-C port with another adapter, and it does not work correctly in RDP. So it's not the hub's fault.
@Elmar Jense @Michel, T Do you use a similar setup? Maybe this helps.