Hi,
Kindly confirm more details for us to better understand your issue:
1.What is the OS version of your client and target computer? How did you start the remote connection?
2.Is there any RDS deployment or you simply remote one computer to another?
3.Are the client and target computer in the same network? In the complete RDS deployment, there is a role named RD Gateway which could help to provide secure access for uses to remote form internet to inside.
https://learn.microsoft.com/en-us/windows-server/remote/remote-desktop-services/rds-plan-access-from-anywhere
4.Per checking, I could locate the path of the mentioned registry for next action(creating a new one).
Winver: Windows 10 20H2
https://appuals.com/fix-your-computer-cant-connect-to-the-remote-desktop-gateway-server/
Please note: Information posted in the given link is hosted by a third party. Microsoft does not guarantee the accuracy and effectiveness of information.
Hope this helps and please help to accept as Answer if the response is useful.
Thanks,
Jenny