Hi @Bora Özden ,
it seems the users cache profile is stored on the server and could be causing the connection issue with the new password, also check if the password is updated in the RDP connection. Here is the detailed step by step guide for setting up the RDS server on 2019.
Also check the credential manager on the local device if cache credentials are there and updated?
install-rds-host-role-service-without-connection-broker
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