Sure, it's a known issue. Checkout
https://discussions.citrix.com/topic/408707-rdp-proxy-with-windows-10-2004
Workaround is:
Microsoft took some debug traces and got their developers involved. there's a patch coming out in june that fixes it.
there's a registry key workaround:
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Terminal Server Client
SendCorrelationId = 0
type dword