Remote Desktop has no proxy field, which is why this looks harder than it is. The traffic has to be wrapped by something else before it reaches the proxy.
The Windows Remote Desktop client speaks its own protocol straight to the host on TCP 3389. It was never given proxy support, so there is no box to fill in. Anything that claims otherwise is wrapping the connection outside the client.
Run a small tool that listens on a local port, forwards through your SOCKS5 proxy, and point Remote Desktop at the local port instead of the remote host. On Windows the common choices are the SSH client built into recent versions, or a dedicated forwarder.
With OpenSSH already on the machine, a single command sets it up:
ssh -o ProxyCommand="ncat --proxy PROXY_HOST:PROXY_PORT --proxy-type socks5 \
--proxy-auth USER:PASS %h %p" -L 13389:TARGET_HOST:3389 user@jump-host
Then connect Remote Desktop to 127.0.0.1:13389. The client thinks it is talking to your
own machine; the traffic leaves through the proxy.
If you have no jump host, use a forwarder that maps a local port straight through the proxy — Proxifier and Proxycap do this with a rule per application, which is the usual answer on a Windows desktop.
RDP is a long-lived TCP session carrying interactive traffic. It needs an address that stays put and has bandwidth: a static ISP or datacentre address is the right shape. Rotating residential traffic is the wrong tool here — the address is meant to change, and a session that changes address mid-stream drops.
On PyProxy, SOCKS5 comes with the ISP, mobile and datacentre products and the per-IP products; rotating residential is HTTP(S) only. For remote desktop work, a static address is what you want anyway.
Prove the proxy path works before blaming RDP. If curl through the same credentials returns an address that is not yours, the proxy is fine and anything remaining is the forwarder:
curl -x socks5h://USER:PASS@HOST:PORT https://api.ipify.org
No. The RDP client has no proxy setting. You forward a local port through the proxy and connect Remote Desktop to that local port.
A static ISP or datacentre address over SOCKS5. Rotating residential traffic is designed to change addresses, which breaks a long interactive session.
It adds the round trip to the proxy, so choose an exit close to either you or the host. Bandwidth matters more than the hop count for screen updates.
For RDP, yes — SOCKS5 carries arbitrary TCP, while an HTTP proxy only handles HTTP and CONNECT tunnels.