I had the same issue, had an AppLocker policy to allow %SYSTEM32%/DWM.EXE for Admins group, but DWM.EXE was still being blocked when trying to RDP!
Weirdly enough, changing from Admins group to "Everyone" seemed to help. I'm not sure why as my user is definitely a part of the Admins group, maybe it had something to do with the order of operations on logging in via RDP? Like DWM.EXE is called before Windows recognizes the user as part of a specific group? I don't know..