Hilary_Braunto sum up the state of support, we have the following apps which will vary in features, such as remote device support, but for the main functionality of connectivity type, they are as follows:
Generalizing as RDP = Traditional remote connection, VDI = Workstation cloud/subscription
- Remote Desktop Connection (Built in Windows) - RDP Only
- Remote Desktop (Microsoft Store, Deprecated) - RDP & VDI
- Remote Desktop (MacOS (didn't check other platforms, Deprecated) - RDP & VDI
- Remote Desktop (MSI) - VDI
- Windows App (Windows) - VDI
- Windows App (MacOS, iOS, Android) - RDP & VDI
On Windows, the only fully featured, modern, remote connection experience is the soon to be deprecated Remote Desktop (Windows Store) app. I'm using the Windows App and do like it but also agree with other posters that the Remote Desktop App should not be retired until the Windows App has major feature parity.
I'm also not sure why the MSI is a recommended stopgap as VDI is the only thing the new Windows app does. If there's additional feature parity issue with the Windows App, that also supports waiting until the Windows App is more fully baked.
Please wait until the Windows App is ready, the community will be better for it. If there's a reason to move forward at this pace with the confusion it is causing, please share. If's there's good reason, some will gripe, but understand. As-is we lack the information to support the current course of action.