I figured it out; it is not spelled out completely, but you must use the non-windows store version of the application. You can download it from this site: https://learn.microsoft.com/en-us/azure/virtual-desktop/users/connect-remote-desktop-client?tabs=windows#prerequisites
The link the Army gives in its presentation to download a remote desktop is broken, so unless you know, you would just normally go to the MS store to download the remote desktop tool, which both have the same icon shown on the presentation.
After you select your version and download and install it, you must subscribe to the URL the army gives you and sign in with a CAC card. This will allow you access and allow your CAC to pass through to the AVD.