Hello @Anonymous , Welcome to the Microsoft Q&A forum.
Yes, you are correct Azure Bastion does not support VNET's peered over Azure Virtual WAN. This limitation is currently documented here. Please feel free to upvote this feature request on our feedback portal.
Does this mean I have to create an RDS infrastructure to allow access without going via a VPN to the DevTestLab?
I am not sure if I understood this question correctly, but you can refer to this Hub and Spoke Architecture using Azure Virtual WAN for more information on how to establish hub-spoke connectivity. If this does not help answer your question. Can you please elaborate more on your architecture?
Hope this helps! Please let me know if you have any additional questions. Thank you!
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