Hi,
Only with Azure App Proxy that supports RD web client for MFA and in the steps of deployment, it is required to enable Azure app proxy and Add an on-premises application for remote access through Application Proxy in Azure Active Directory.
Azure AD Application Proxy now supports the Remote Desktop Services web client
https://techcommunity.microsoft.com/t5/azure-active-directory-identity/azure-ad-application-proxy-now-supports-the-remote-desktop/ba-p/1257367
Not sure what kind of vendor you are inquiring but would like to share a reference step by step guidance on Using Azure App Proxy with RDWeb below:
https://www.patrickvanbemmelen.nl/using-azure-app-proxy-with-rdweb/
Please note: Information posted in the given link is hosted by a third party. Microsoft does not guarantee the accuracy and effectiveness of information.
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Thanks,
Jenny