Warp together with Zero Trust

Dear Community,
we’re currently implementing Zero Trust via Warp company-wide. So I registered my Macbook as well as my iPhone to the service via Warp client. That worked well, I could not see any issues. Also the Cloudflare root certificates have been installed and trusted.
I have an existing application for my testing, which is a Windows RDP connection.
So, using the previous way, authenticating via cloudflared on my Macbook works still fine. I can RDP into Windows.
Now I wanted to switch that over to Warp. When I start the Warp client on my Macbook, the blue Zero Trust logo appears and it says my connection is private. Here I notice that connection speed and webpage loads kinda drops. All very slow.
Also when I then try to access the Windows host via RDP, Remote Desktop says “Configuring remote PC” and then stucks. Connection will fail after timing out.

Can you please assist me solving the issue?
Thank you in advance