In simple terms, NLA forces authentication prior to making a connection to the target machine. In RDP of old, you would connect to a machine and end up at the login screen, where you would then enter your username and password. NLA now requires the RDP client to pass credentials prior to even making a successful connection.
As long as you aren't exposing the RDP port to the public internet, then you're fine. If you are, I'd recommend not doing so and either setting up a VPN, or using a different remote access tool for remote control from the internet.
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-James
GO FLAMES GO.
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