Currently there is no support for Zoom VDI client on MacOS with MS RDP client (there is for Citrix and VMware Horizon though). I raised the issue with Zoom support and they responded:
"The current RDP for Mac (“Microsoft Remote Desktop”) is provided through the Apple store and Apple places restrictions on applications they distribute. For our VDI Plugin solution, we need to be able to start the plugin remotely using a connection from the virtual desktop to the client. The Remote Desktop for Mac that Apple provides does not support being able to do that.
We have brought this to the attention of Microsoft and asked if they might be interested in providing an application for the Mac that did not have that restriction. There was an acknowledgment of the problem and the request but we have not received a commitment from Microsoft. Until something of that sort is provided, we are unable to create a plugin for that platform."
It would be great if you could work with them and get the issue addressed.