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Hi,
RDS Hybrid Deployment (on-premises and on Azure) are supported.
You may check blog “(RDS) Tip of the Day: New Capabilities for Remote Desktop Services in Windows Server 2019” for detail information:
https://blogs.technet.microsoft.com/tip_of_the_day/2018/09/10/rds-tip-of-the-day-new-capabilities-for-remote-desktop-services-in-windows-server-2019/
Best Regards