AFAIK, you're correct... As per https://www.microsoft.com/en-gb/microsoft-365/roadmap?rtc=3&filters=Microsoft+Intune&searchterms=endpoint+privilege+management , MDE's Endpoint Privilege Management does support personal AVD (Azure Virtual Desktop) hosts, but not multi-session (pooled) hosts.
Personal AVD hosts are treated much like regular Windows 10/11 Enterprise endpoints, so EPM works as expected — allowing standard users to elevate approved apps without full admin rights. EPM currently relies on per-user session control and context that is complex in multi-user environments, so effectively this is not supported.
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hth
Marcin