You receive the following message when attempting to connect to a Windows computer using Microsoft Remote Desktop for Mac:

You are connecting to RDP host "name_of_remote_PC". The certificate couldn't be verified back to a root cetificate. Your connection may not be secure. Do you want to continue?

Your Mac was unable to verify the certificate for the remote computer.

1) Click Show Certificate.

2) Check the box next to "Always trust 'COMPUTER_NAME' when connecting to 'COMPUTER_NAME'". Then, click Continue.

3) If prompted for credentials, type the username and password of an account on your Mac with administrative privileges. Then, click Update Settings.

Outcome

You will be able to successfully connect to the remote Windows computer using Microsoft Remote Desktop for Mac.