I agree it's frustrating and disappointing and there's never an official answer from Microsoft. I get that they want us to use this from Windows if possible, but the power of it is that I can get to Windows from all my devices; but I shy away from using it on my Mac as much as on my Surface Pro.
One sort-of workaround is to run a Windows 11 virtual machine on the Mac; that obviously does apply a hit to battery life, but battery life isn't great on my M1 Pro MacBook 14" when I use the Mac RDP app anyway.
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