With RDS User CALs deployment, anonymous user sessions cannot launch successfully.
 

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1. Set RDS Device CALs instead of User CALs. 
   • Refer to the Microsoft document to configure licensing for a Remote Desktop Services (RDS) deployment.

 

2. Open a ticket with Microsoft for further help if there are troubles with setting up RDS Device CALs.

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Problem Cause

The anonymous accounts are not domain users because they are created locally on the VDAs.
RDS User CALs are based on AD verification so anonymous users won’t get valid RDS User CALs.