FortiGate Next Generation Firewall utilizes purpose-built security processors and threat intelligence security services from FortiGuard labs to deliver top-rated protection and high performance, including encrypted traffic.
Article Id 191529
This article describes FortiAuthenticator agent and expected behavior during RDP connection.

1) When installing a FortiAuthenticator agent on windows server, if the below option is enabled; 'Microsoft built in password provider enable'.

The machine will prompt with both windows built in password provider and FortiAuthenticator agent login.

2) If the 'windows built-in password provided' option is unchecked, then it will get a FortiAuthenticator agent provider prompt.

Also, it is expected behavior not to show 'Microsoft built in password provider login' when the user tries to connect to a different machine from the jump host if 'Microsoft built in password provider' option is disabled when FortiAuthenticator agent is installed.