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By default, after logging in, users pick the server they want from the list of targets their policies allow. With the direct connection option, they can name the target in their Remote Desktop client and skip the list, which is convenient for prepared shortcuts (.rdp files).
In the User name field of the Remote Desktop client, the user appends the target alias to their account:
username/targetusername@domain/targetDOMAIN\username/targettarget is the alias of a target linked to one of the user's policies. If no policy allows this user to reach this target from their network at this time, the connection is refused and the reason is written to the access events.
Forward credentials passes the credentials typed by the user to the target unchanged. The gateway then only checks the source network, the schedule and the target, not the member account. The credentials are not masked: use it only when users must log in on the server with their own account.