As the title states, is this even a supported scenario on macOS? I've tried every combination and format of the domain and username, e.g. ".\AzureAD\user@domain.com" but with no luck. Local admin user or other proper domain joined hosts work just fine. Couldn't find a documentation article which addresses this functionality.

Thanks
Janic
Hello
It should work, but you need to disable Network Level Authentication in the "Authentication" tab of the RDP session. And the server cannot require clients to use NLA (in Remote Desktop settings on the server).
The "Entra ID Host" checkbox in the "General" tab of the session will, if checked, automatically add the .\AzureAD\ prefix to the credentials.
Let me know if that works for you
Thanks and kind regards,
Richard Markievicz