We just successfully completed WVD setup on our customer's tenant. We don't have any problems to connect to WVD via HTML 5 clients. Some computers can also connect to WVD with Remote Desktop client app to.
However, most of our users cannot connect to WVD via Remote Desktop client app, although all of them can connect with HTML 5. The client version is latest (1.2.247). More interesting is on a domain joined computer, we were able to connect via WVD Remote Client app if we login to computer with a local user; however we couldn't connected if we login with a domain user. In both cases, we were using the same user credentials from RDS tenant.
In short, there is no problem with HTML 5 client; however, most of our clients can not connect with Remote client app and see the attached screen shot.