Hello Julian Tucker
Welcome to Microsoft Q&A Platform, thanks for posting your query here.
Based on the details you provided, it seems that there might be an issue with the Remote Desktop Connection or the VM itself.
Please try below troubleshooting steps to see if that resolves the issue:
-Restart the VM: Sometimes, restarting the VM can resolve the issue.
-Check for any updates that need to be installed on the VM.
-Check the VM's resource utilization to ensure that it has enough resources to run Windows Explorer and other applications.
Also, try to stop the VM and change the SKU to next higher size available and start the VM to see if that helps.
Hope this helps.