Hello there,
Remote Desktop connection authorization policies (RD CAPs) specify the requirements for connecting to a Remote Desktop Gateway server. RD CAPs can be stored locally (default) or they can be stored in a central RD CAP store that is running NPS. To configure integration of Azure AD MFA with RDS, you need to specify the use of a central store.
On the RD Gateway server, open Server Manager.
On the menu, click Tools, point to Remote Desktop Services, and then click Remote Desktop Gateway Manager.
In the RD Gateway Manager, right-click [Server Name] (Local), and click Properties.
In the Properties dialog box, select the RD CAP Store tab.
On the RD CAP Store tab, select Central server running NPS.
In the Enter a name or IP address for the server running NPS field, type the IP address or server name of the server where you installed the NPS extension.
Enter the name or IP Address of your NPS Server
Click Add.
In the Shared Secret dialog box, enter a shared secret, and then click OK. Ensure you record this shared secret and store the record securely.
Hope this solve your issue please upvote it,
Thanks
Sridhar M