Only allow remote desktop to connect when password is correct - Windows Server 2016

Whenever I connect to my VPS, when the wrong credentials are placed in, I am still able to connect but I am directed to a login screen.

This can bring up some potential Bruteforce issue so I would like to only allow connection when credentials are correct.

Incase I am unclear, some screenshots are attached.

Attempt to login with wrong password:

Attempt to login with wrong password

Would like to block connection when credentials are incorrect, do not want them to be brought to this login screen:

Would like to block connection when credentials are incorrect, do not want them to be brought to this login screen

This is what I want to achieve:

This is what I want to achieve


Thank you @Greg Askew, NLA is the issue after enabled that, it works.