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 192454
This article explains how to process when users are unable to connect to the server via  RDP  through SSL VPN web portal .

When users are connected via SSL VPN through web portal and they process the below actions, they will get 'connect closed' error.
If they select the quick connection and click the RDP and specify the server IP address and click launch with default security menu "standard RDP encryption security".

Select the security menu with Network level authentication as shown in the below image and then click launch, it will be prompted for server login and after entering the credentials it will able to connect to the server via RDP successfully.