Hello,
It seems that this version has just been launched, and it's possible that there might be bugs present. Assuming your settings are configured correctly Connect to Azure Virtual Desktop with the Remote Desktop client for macOS - Azure Virtual Desktop | Microsoft Learn
Alternatively, you might consider downloading an earlier beta version App Center to determine if the issue is unique to the latest release.
For troubleshooting steps, refer to this guide: Troubleshoot the Remote Desktop client for macOS - Azure Virtual Desktop | Microsoft Learn
Should you wish to report the issue, you can do so by going to Help > Submit Feedback within the application.
If the Answer is helpful, please click "Accept Answer" and upvote it.