Finally, a workaround, that even worked for my Proxmox Win11 VM:

Setup local or AD-enrolled group policy on/for the RDP destination machine (see also screenshot attached):
Local Computer Policy> Computer Configuration > Administrative Templates > Windows Components > Remote Desktop Services > Remote Desktop Session Host > Connections > Select network detection on the server – set to Enabled, Turn off Connect Time Detect and Continuous Network Detect

Just for those who are not familiar with GPOs, you can run group policy editor for the local machine by:
Hitting Windows-Key + R, then typing “gpedit.msc” in the field and then click “OK”.

Source:
https://www.reddit.com/r/sysadmin/comments/1gbq4y7/windows_11_24h2_rdp_session_hangs_on_logon/

None of the other settings needed additionally (like disabling of UDP, disabling wallpaper, etc.)!

https://forum.proxmox.com/threads/rdp-issue-after-latest-windows-update-on-windows-11-vm.162160/post-748171
https://answers.microsoft.com/en-us/windows/forum/all/kb5050094-causes-rdp-disconnects/5826f779-5bc2-437c-9fe5-3c16f3e4a2d0
https://www.borncity.com/blog/2025/02/12/patchday-windows-10-11-updates-11-februar-2025/?