Microsoft Remote Desktop Not Connecting on iMac

I am having trouble getting the Microsoft Remote Desktop app to work on my 2019 iMac with the latest software.

I currently connect to my Windows 10 work desktop via a Windows 10 laptop with VPN (SonicWall). I am also able to connect to my desktop via the VPN app on my iPhone and the Microsoft remote desktop app.

I just got my new iMac a few days ago and tried setting up the VPN (which connects with no issues), and the Microsoft Remote Desktop app, and it gives me the 0x204 error code.

Any help would be appreciated! Not sure why I can connect on my Windows laptop and my iPhone XR, and cannot on my iMac. Thank you!