Change user account control settings

You can modify the elevation prompt to not use secure desktop via a security baseline policy which will allow you to see the prompt during remote sessions:

Standard user elevation prompt behavior:
This policy setting controls the behavior of the elevation prompt for standard users.

Automatically deny elevation requests - When an operation requires elevation of privilege, a configurable access denied error message is displayed. An enterprise that is running desktops as standard user may choose this setting to reduce help desk calls.

Prompt for credentials on the secure desktop - When an operation requires elevation of privilege, the user is prompted on the secure desktop to enter a different user name and password. If the user enters valid credentials, the operation continues with the applicable privilege.

Prompt for credentials - When an operation requires elevation of privilege, the user is prompted to enter an administrative user name and password. If the user enters valid credentials, the operation continues with the applicable privilege.

more info: https://docs.microsoft.com/en-us/mem/intune/protect/security-baseline-settings-mdm-all?pivots=mdm-december-2020