Fix Remote Desktop so that cmd+tab switches you back to the window, not connection center

When I use cmd+tab on MacOS, and I'm inside an rdp session, I can switch out of RDP to another app in MacOS or to the Finder. But when I try to cmd+tab back to my RDP session, I get presented with the connection manager, and it's frustrating! The only way to get back to my Windows session is using the mouse to select Window > "mysession"