From what I read Windows App does not support RDP and you need to use Remote Desktop Connection (not Remote Desktop App, which is a different thing)

https://techcommunity.microsoft.com/blog/windows-itpro-blog/windows-app-to-replace-remote-desktop-app-for-windows/4390893

Remote desktop users: Users connecting to remote desktops from the Remote Desktop app should use Remote Desktop Connection until support for this connection type is available in Windows App.