Hello @Christian Garcia Miñano ,
Thank you for reaching out to the Microsoft Q&A platform. Happy to answer your question.
AVD client is not an enlightened app for WIP List of enlightened Microsoft apps for use with Windows Information Protection (WIP) (Windows 10) - Windows security | Microsoft Learn.
We are looking into support for Purview Information protection going forward, no timelines to share. For feedback and feature enhancement request, please submit them via the technical feedback program at https://feedback.azure.com
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