Thanks for the answer Vladimir,
The identity awareness blade is not used directly for threat prevention. IDA helps to monitor users activity and prevent access to where they shouldn't have access. The problem is when users in remote desktops are using legit services like email, file sharing, and web, they will not be protected inside the remote desktop session (only on the network level but not on the remote session itself).
So I can install an Anti-Virus on the remote desktop but for APT's, Phishing attacks, Ransomware, etc., there is no way to mitigate them. Or maybe I am wrong.
There are many good articles on how to secure the RDP protocol, RDP sessions, and RDP servers but once the user is inside the RDP session, there is no control over what happens.