Create the following traffic policy and bind it to the gateway virtual server

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add vpn trafficAction rdp_proxy_act http -SSO OFF -proxy 1.1.1.1:3389

add vpn trafficPolicy rdp_proxy_pol "REQ.HTTP.URL CONTAINS rdpproxy" rdp_proxy_act

Note:
1.1.1.1 here is the RDP server ip
If we are using LB vserver then we need to add Loadbalaancing ip here instead of the RDP server IP.