Hi Lars Kremers,
Welcome post in Microsoft Community.
I'm Mosken, I do apologize for the inconvenience that you're experiencing right now, let me help you sort things out.
According to your description, I knew that you want to use a different authentication method than the default PIN code login when logging into the server using Windows Remote Desktop. If my understanding is wrong, please correct me in the reply.
First, log in with a PIN code because the remote account you're using has PIN code login enabled. If you want to switch other login verification methods, you need to set it in this system.
Windows Remote Desktop can then save your connection credentials. As shown in the figure below,
enter the IP address and username of the remote host, try to connect one time, and then click "save" below, which will save the information of the remote session locally, and then you can log in using the saved authentication method the next time you connect.
The above steps are provided based on the information I have learned so far, I wish that will be helpful to you. If your problem still cannot be solved by these steps, please tell me more specific situation in the next reply. I will continue to assist you in solving the problem.
Best Regards,
Mosken - MSFT | Microsoft Community Support Specialist