I wanted to provide an update. I opened a case with MS and I have fed this information back to them.
I've been collaborating with my former boss who was also having the exact same issues in his environment. We’ve figured out how to get it working for both of us but I would not deploy it this way because it’s probably not supported. After changing the two regkeys below my session immediately switched to UDP.
The trick was simple:
o Enable RDP Shortpath for Public Networks PREVIEW o Disable RDP Shortpath for Managed Networks
In our case this involved two steps:
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows NT\Terminal Services • REG_DWORD: fUseUdpPortRedirector should be 0 or DELETED HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Terminal Server\WinStations • REG_DWORD: ICEControl should be 2