Hello,
I have been looking into this issue of using MFA with Windows 2019 VMs and RDP. Currently I cannot find an option to do this. Because of this, I believe that I may be able to offer a feature request to you. This request would be evaluated by our product team to see if it can be implemented. As such I cannot guarantee that it will be created, nor can I provide an ETA.
Would this be something that you are interested in?