Connecting directly through RDP to your system is not recommended in a practical security. It is because the RDP connection goes through the Internet which is weak. To add more extra layer of security, you should set up a jump virtual machine (as known as bastion host) which connects privately to your system via Point-to-site VPN. The illustration below shows you the setup target. In this setup, there is a virtual machine which resides in a different virtual network to connect to your private network. There is a Point-to-site connection between the jump virtual network and your private virtual network to secure the connection.