Microsoft Remote Desktop for macOS should ask to "Reconnect?" on interrupt even if using full screen

We 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.