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There might also be a notification about Digital Certificate, just accept and tell Windows to not bother next time.
Mac OS
I'll let someone else fill in this part (See below) - wjd
Additional Tips
There are a few tips that can make your RDP experience slightly better and speed up your workflow.
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I also remember that it can pass through specific folders rather than the whole drive, which is better I think compared to the implementation in Windows RDC Client.
Waiting for a Mac user to properly write this section if they are in the mood.The Microsoft Remote Desktop App is confirmed to work for this. After installing the app, open it so that you see a screen like this.
Click on "Add PC", and you will see the following screen.
From here, you can basically follow the instructions from the Windows setup... fill in the PC name provided above. For user account, I clicked on the arrow and added my "AUSTIN\your_eid" login as explained above. I also filled in my password, so that it will auto login.
From there, try logging in, it should work. -wjd