Parallels Client through Azure Application Proxy

Hello Community,
we have RAS Setup running for a Windows Terminal Server. We have Single Secure Gateway configured with authentication with Web and windows credentials.
This is working fine with the Webclient. Is it possible to get it running through the native windows client with an Azure Application as proxy ? When configure the client (SSL-Model, 443) the MFA for Entra shows up and after finishing it in Edge, it says everything is fine. But the windows client reports back an error,
Host not found. Looks like the client is trying the resolve the name of the Secure Gate, which is local. Inside the company network, everything works just fine.

Do you have experience with this kind of connecting ? THanks for any advice.