It's worse than that. The account it creates is somehow "special". I have not yet figured out a way to connect to a computer with an MS account via RDP (yes, RDP is on and allowed through the firewall, the user is a local admin (the default)). Ditto for accessing that PC's shares.
FWIW, I just did this two days ago with a Win11 machine that I set up solely for remote access.
Created an MS account (because I want this machine to be as normal-user as possible), set up a PIN. Signed in with a PIN to the desktop, run 'Remote desktop settings' and fip the 'Remote Desktop' toggle to on and affirm the prompt that asks if you really want to do this.
After that no issue RDPing to the machine by IP or hostname from another machine on the same LAN. Username and password is the same as the MS account I first signed in with.
(For reference, Windows 11 22H2 running on an HP Prodesk 600 G5, RDPing from macOS using Microsoft Remote Desktop 10.7.10 installed via App Store.)
You have to delete the PIN it forced you to create during OOBE. This forces the system to apply your MSA's password to the actual account. Without this step, the account has no password. You can still recreate the PIN afterwards and it won't delete the password.
PIN is only used for local logins because it's part of Windows Hello, meaning it literally is the PIN to unlock the password credentials where they are stored in the TPM.
