Login with AzureAD using embedded tab

We have migrated all our Azure VMs to use AzureAD login support as documented at https://docs.microsoft.com/en-us/azure/active-directory/devices/howto-vm-sign-in-azure-ad-windows. I can download an RDP file the Azure portal and I am able to connect using my AzureAD credentials.

How do I get this to work in RDM in an embedded tab? I've tried importing the RDP file, making a custom entry, disabled NLA. This seem much harder than it should be?