Access to AVD Control Plane is not supported by ExpressRoute Microsoft Peering.
https://docs.microsoft.com/en-us/azure/expressroute/expressroute-faqs#microsoft-peering
However, this webpage says "ExpressRoute Microsoft Peering allows remote desktop session communication via ExpressRoute".
https://www.microsoft.com/ja-jp/events/azurebase/blog/wvd-usecase-architecture/#:~:text=ExpressRoute
Has the support scope changed?