Hello Alejandro, thanks for choosing Wazuh!
Regarding Active Response, for Windows environments, netsh would be the firewall-drop equivalent in this case, this script alongside 2 others is included by default in the Windows Agent. Or if your question is related to performing similar actions in response to a brute-force RDP attack, then the answer would be yes, Active Response can be instructed to act in response to security event that is fired, in this case, you can instruct it to perform a certain action after failed RDP login events.
You may learn more about Active Response by visiting these links:
Should you have further questions, let us know!
Have a great day!