Azure Virtual Desktop Login Gateway Error

I have created a Host pool with one test Azure AD user. whenever I try to login with the web client or with desktop RDP native client for windows I get a gateway error. Even though I have proper login access with both virtual administrator and virtual user login access, I get the gateway error. Not sure what other permission I need to give.

Is it I have to create Network Security group wiht RDP opened for inbound traffic?

I saw the below article but I didn't get any answer from this to solve the login error. Attaching a screenshot of the error am facing.

https://techcommunity.microsoft.com/t5/azure-virtual-desktop/windows-virtual-desktop-your-computer-can-t-connect-to-remote/m-p/389954#M271