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.

This is not about RDP, Windows App does not support RDP (yet).

Remote Desktop Connection is a different piece of software than Remote Desktop App (a Windows store app)