question

The test I did (I used ATL to host the control like I do it in C++) =>

(Add COM Reference : C:\Windows\System32\MsTscAx.dll)

 Imports System.Runtime.InteropServices
 Imports MSTSCLib
    
 Public Class Form1
     Public Enum HRESULT As Integer
         S_OK = 0
         S_FALSE = 1
         E_NOINTERFACE = &H80004002
         E_NOTIMPL = &H80004001
         E_FAIL = &H80004005
         E_UNEXPECTED = &H8000FFFF
         E_OUTOFMEMORY = &H8007000E
     End Enum
    
     <DllImport("Atl.dll", SetLastError:=True, CharSet:=CharSet.Auto)>
     Public Shared Function AtlAxWinInit() As Boolean
     End Function
    
     <DllImport("Atl.dll", SetLastError:=True, CharSet:=CharSet.Auto)>
     Public Shared Function AtlAxGetControl(ByVal h As IntPtr, <Out> <MarshalAs(UnmanagedType.IUnknown)> ByRef pp As Object) As Integer
     End Function
    
     <DllImport("Atl.dll", SetLastError:=True, CharSet:=CharSet.Auto)>
     Public Shared Function AtlAxGetHost(ByVal h As IntPtr, <Out> <MarshalAs(UnmanagedType.IUnknown)> ByRef pp As Object) As Integer
     End Function
    
     <DllImport("User32.dll", SetLastError:=True, CharSet:=CharSet.Unicode)>
     Public Shared Function CreateWindowEx(ByVal dwExStyle As Integer, ByVal lpClassName As String, ByVal lpWindowName As String, ByVal dwStyle As Integer, ByVal x As Integer, ByVal y As Integer, ByVal nWidth As Integer, ByVal nHeight As Integer, ByVal hWndParent As IntPtr, ByVal hMenu As IntPtr, ByVal hInstance As IntPtr, ByVal lpParam As IntPtr) As IntPtr
     End Function
    
     Public Const WS_OVERLAPPED = &H0
     Public Const WS_BORDER = &H800000
     Public Const WS_POPUP = &H80000000
     Public Const WS_CHILD = &H40000000
     Public Const WS_MINIMIZE = &H20000000
     Public Const WS_VISIBLE = &H10000000
     Public Const WS_DISABLED = &H8000000
    
     Public Shared Function GetWindowLong(hWnd As IntPtr, nIndex As Integer) As Integer
         If IntPtr.Size = 4 Then
             Return GetWindowLong32(hWnd, nIndex)
         End If
         Return GetWindowLongPtr64(hWnd, nIndex)
     End Function
    
     <DllImport("User32.dll", EntryPoint:="GetWindowLong", CharSet:=CharSet.Auto)>
     Private Shared Function GetWindowLong32(hWnd As IntPtr, nIndex As Integer) As Integer
     End Function
    
     <DllImport("User32.dll", EntryPoint:="GetWindowLongPtr", CharSet:=CharSet.Auto)>
     Private Shared Function GetWindowLongPtr64(hWnd As IntPtr, nIndex As Integer) As Integer
     End Function
    
     Public Const GWL_HINSTANCE = -6
    
     Private hWndContainer As IntPtr = IntPtr.Zero
     Dim pMsTscNonScriptable As IMsTscNonScriptable = Nothing
     Dim pMsRdpClient2 As IMsRdpClient2 = Nothing
    
     Private Sub Form1_Load(sender As Object, e As EventArgs) Handles MyBase.Load
         If (AtlAxWinInit()) Then
             ' CLSID_MsTscAxNotSafeForScripting
             hWndContainer = CreateWindowEx(0, "AtlAxWin", "{A41A4187-5A86-4E26-B40A-856F9035D9CB}", WS_VISIBLE Or WS_CHILD Or WS_BORDER, 10, 10, 1180, 780, Handle, CType(10, IntPtr), CType(GetWindowLong(Me.Handle, GWL_HINSTANCE), IntPtr), IntPtr.Zero)
         End If
         Dim pUnknown As Object = Nothing
         Dim hr As HRESULT = AtlAxGetControl(hWndContainer, pUnknown)
         If (hr = HRESULT.S_OK) Then
             pMsTscNonScriptable = CType(pUnknown, IMsTscNonScriptable)
             pMsRdpClient2 = CType(pUnknown, IMsRdpClient2)
             If (pMsRdpClient2 IsNot Nothing And pMsTscNonScriptable IsNot Nothing) Then
                     ' Test with Demo Server 
                 ' https://www.secure-od.com/demo-server/
                 pMsTscNonScriptable.ClearTextPassword = "D3m02014*Test"
                 pMsRdpClient2.UserName = "demo2"
                 pMsRdpClient2.Server = "109.168.97.222"
                 pMsRdpClient2.DesktopWidth = 1920
                 pMsRdpClient2.DesktopHeight = 1080
                 pMsRdpClient2.Connect()
             End If
         End If
         Me.ClientSize = New System.Drawing.Size(1200, 800)
         CenterToScreen()
     End Sub
    
     Private Sub Form1_FormClosing(sender As Object, e As FormClosingEventArgs) Handles MyBase.FormClosing
         If (pMsRdpClient2 IsNot Nothing) Then
             pMsRdpClient2.Disconnect()
         End If
     End Sub
 End Class