Hi Nina,
This problem has been reported by multiple users after updating to iOS Sequoia 15.0. The fix is to give Microsoft Remote Desktop permission to access your local network. Go to System Settings > Privacy & Security > Local Network, then enable local network access for Microsoft Remote Desktop. If you use other apps like Windows App, consider allowing access for those as well. This should fix the connectivity issue with Microsoft Remote Desktop.
If the issue persists or you need more help, let us know.
Best regards,