Update connect-native-client-windows.md

For section on RDP to Windows VM has a hyperlink [Azure Windows VMs and Azure AD] which provides explanation on additional requirements. Perhaps it will also be helpful to add the note that source machine also need to be AAD registered/join etc directly on this page.

Author: ravibak

articles/bastion/connect-native-client-windows.md

@@ -134,6 +134,9 @@ Use the example that corresponds to the type of target VM to which you want to c
    az network bastion rdp --name "<BastionName>" --resource-group "<ResourceGroupName>" --target-resource-id "<VMResourceId>"
    ```
 
+> [!IMPORTANT]
+> Remote connection to VMs that are joined to Azure AD is allowed only from Windows 10 or later PCs that are Azure AD registered (starting with Windows 10 20H1), Azure AD joined, or hybrid Azure AD joined to the *same* directory as the VM. 
+
    **SSH:**
 
    The extension can be installed by running, ```az extension add --name ssh```. To sign in using an SSH key pair, use the following example.