Getting error 0x9735 when trying to connect using AAD account. Local Account works

Please excuse the thread necromancy but this saved the day for me too - the "modern" red store RDP client wouldn't talk to an AzureAD machine, but the legacy one worked.

If you uninstalled it, you can reinstall the legacy rdp client from here: https://learn.microsoft.com/en-us/windows-server/remote/remote-desktop-services/clients/uninstall-remote-desktop-connection

To use an AzureAD/EntraID login to RDP onto an AzureAD/Entra joined machine, you need to go into 'more options' and tick the 'use web credential to sign in...' tick box on the Advanced tab. More info, see this page:

https://learn.microsoft.com/en-us/windows/client-management/client-tools/connect-to-remote-aadj-pc#connect-with-microsoft-entra-authentication

As of August 2024 the store Remote Desktop app wouldn't let me use AzureAD 'web' credentials but the legacy mstsc app did