Good day Mike - @mikefairley-0522
As you already understood, in order to use mic, you need a recording devices. When you are using remote desktop then you need a logical (you do not use physical device) device, which is basically an application which you install on your remote machine. In addition You need to transmit the sound from the local machine to a remote machine.
Part one is in the remote machine, and part two is on your local machine (part two is what @karishmatiwari-msft spoke about).
If you are using windows 10 as your remote machine, then you have a built-in logical device named "Remote Audio". We need to enable this device.
On your remote machine: Choose Start, choose Run, enter regedit, choose the OK button, and then set the value of the following registry key to 0.