There is a serious and very old (goes back years) problem with using Remote Desktop with SteamVR. Basically it won't work properly, your VR Headset display will not function correctly (in my case it...
TaniaMariscal
Microsoft
MicrosoftWe are sorry you are running into issues. To discuss issues we recommend to share your problem on our Tech Community forum (https://aka.ms/wvdtc) or open a support ticket after you have reviewed the troubleshooting options in our documentation (Windows Virtual Desktop troubleshooting overview - Azure | Microsoft Docs)
We recommend to review our troubleshooting section first. The other option you have is to open a support ticket through the Azure Portal.