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Instead of creating every user and server in the RDS Proxy, you can link Active Directory groups:
The appliance needs the Active Directory feature and an Active Directory connection; see Set up your Active Directory connection. Users of an AD group are not masked: they log in with their own Active Directory credentials, and those credentials are also used on the target computers.
When a user connects, the target selector lists the computers of the group. The gateway resolves each computer name with the DNS servers of the appliance.

To authenticate to the computers with Kerberos, choose Kerberos, then NTLM as the NLA mode of the target. See Network Level Authentication mode.