How to use Macro/Script/Tools with Jump Hosts

Hi,
we are working with multiple untrusted domains.
Even with admin ports opened, there is no way to pass credentials and I understood a Jump Host should be used.
Although been using RDM for say 10 years, I'm newbie in that topic.
Once configured as per documentation, the sessions opens without problem.
So far so good. There's no visible change from a direct RDP session.

What I'd like to achieve is using the Macro/Scripts/Tools with help of the Jump Host.
Tried nearly all of the tools, starting by Computer Management. All I could get is "Access denied" as those were executed using my desktop credentials and from my desktop.

Question: is there any configuration that would use the Jump host as a proxy not only for RDP but also for Macro/Script/Tools ?

Thanks in advance,
Patrice