RDP on Windows ARM VM does never use UDP

Hi there,
I have a strange behaviour I cannot really explain and need help to further troubleshoot:
I can connect to my Windows 11 RDP Host from any Windows device/network without any issues - always using TCP + UDP for best experience. I can see this in the RDP infos that both protocols are being used.
However when using the Windows 11 ARM VM on my Mac M1 only connects via TCP. The Event Viewer shows an error that UDP connection is not possible.

RDPClient_UDP: An error was encountered when transitioning from UdpClientStateConnected to UdpClientStateFailure in response to UdpClientEventUdpConnectionFailedOnSend (error code 0x80040003).

Just for your info: This test is on local network - no firewalls (I even deactivated all OS firewalls on client and host for testing). I also tried different network modes (bridge, etc.) - nothing helps.

Anyone out there having a setup like this or also experiencing UDP issues?

Thanks for your support !!!
Simon