Remote App Doesn't Work

We have an issue where connecting to a Windows remote app isn’t working with Zscaler enabled. We’re on Tunnel 2.0 so I was suspecting it was the cloud firewall, but when I check the user’s traffic I don’t see anything blocked to the specific IPs/FQDN. The user browses to a publicly available site, logs in, and then launches a remote app that downloads an RDP file. Upon opening the RDP file, they re-enter creds and click connect. This is when the connection fails. Anyone else deal with a similar issue?