Connecting to an AzureAD Joined machine is a little different than a normal Active Directory Joined / Workgroup machine. Here is how you can configure RDP
1. On the target PC, ensure that Network-level authentication is disabled.
2. On the source PC, create an RDP file to connect to the computer and save it. Once saved, open it with notepad and add the following two lines of configuration.
Finally, enter the username in this format:
AzureAD<full UPN in Azure AD>
Connect to the RDP session. You will be prompted with a Login screen. SSO will not work when connecting in this way.