Issue was resolved.. problem with the default authenticator not set to the authenticator app for the user.
RDG with Azure MFA not working

RDS with Azure MFA not working as expected
https://learn.microsoft.com/en-us/azure/active-directory/authentication/howto-mfa-nps-extension-rdg
We have configured a test user account with Azure MFA and configured RDG and NPS extensions as mentioned in the MS documentation. Upon trying to connect via RDG we are getting the error "can't connect to the remote computer for one of these reasons". When bypassing the NPS/MFA config all seems to work fine. So might be related to the NPS/MFA server. There is no prompt on the device, and also the error message is displayed directly after trying to connect (so before the 'timeout settings'). Seems like the NPS/MFA server is responding that the user may not connect? Any help would be great