When you open an Remote Desktop connection (RDP) in Remote Desktop Manager for the first time, it display a security warning before the connection starts. This security warning indicates that the session will connect to another computer and that remote access may expose your PC and data to security risks:
You are opening an RDP file which will establish a connection to another computer. Connecting to any remote system can expose your PC and data to security risks. Learn more.

Consult Microsoft documentation to learn more about this warning.