@Blake , I have tested this and reported the PS bug to the respective PS content owners. They will be working on the resolution part as soon as possible. Also, i have tested this on CLI where it got deployed successfully. In case your deployment is code independent then you can use this CLI block for time saving.
az network nsg rule update -g Networking-AppGateway-Lab --nsg-name AG-VM-nsg -n RDP --access Deny
Here is the GitHub Issue for tracking https://github.com/Azure/azure-powershell/issues/15517
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