Windows 11 recently added Credential Guard. This feature does not allow a user to save the Credentials for RDP sessions.
To solve this issue:
Press Windows key + R to launch the Run dialog window.
Type gpedit.msc and click OK.
Navigate to the following location in Local Group Policy Editor: Computer Configuration > Administrative Templates > System > Device Guard
Double-click the Turn on Virtualization Based Security policy in the right column.
Set it to Not Configured or Disabled.
Click Apply and OK.
Restart the PC