Think we've managed to solve it, we need an RD Gateway for it and a certificate. From what appears to be happening, the new Server 2022 RDS server is seeing every machine on the local LAN, meaning within the Data Centre, as being fine but anything that is across the SDWAN, despite being on the same domain and part of the same network, is external so a certificate and an RD Gateway is needed. Even VPN users connecting to the client vpn the Data Centre MX is being seen as external. Our Server2016 server doesn't require any of this and picks everything across the SDWAN as being internal.
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