Native RDP on Ubuntu only works if I login from Hyper-V console first

I just installed 22.04.01 as Hyper-V VM on Windows 11.

And I want to use the "native" RDP that it provides. After some hiccup (Native RDP on Ubuntu 22.04 not working) I managed to connect to it from Windows 11.

However there is new problem – if I reboot Ubuntu the Windows RDP client does not connect as if Ubuntu does not listen to the RDP port:

But once I connect to the VM using Hyper-V console and login, the RDP client starts to work. I can even close Hyper-V console and I still able to RDP. Once the VM rebooted the issue appears again.

I suspect Ubuntu service gnome-remote-desktop setup that it only starts for user and not for OS (I dont know much about Ubuntu – how to check that?)