When Remote PC is used, You get challenged for credentials even when SSO is used
The Remote Desktop Services “Prompt for Password” policy prevents Single Sign-on to the Virtual Delivery Agent.
Check registry key HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows NT\Terminal Services
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If fPromptForPassword = 1 then you need to change it to 0.
Note : Make sure that the GPO is not set in Computer Configuration | Policies | Administrative Templates | Windows Components | Remote Desktop Services | Remote Desktop Session Host | Security | Always prompt for password upon connection. In which case, you need to update the GPO.