first question: why? what would be the goal of put a VDI scheme behind a WAF?
Remember that FortiWeb is a web application firewall, focused by design in HTTP/HTTPS (and FTP) traffic.
Under more popular deployment mode, (reverse proxy), the default action is drop non-http/https/ftp traffic. It only deals with web traffic.
If you want to try and proxy emulation traffic (as rdp under your vdi arq), consider another modes of operation or configure bypass non-web traffic in your Fortiweb