Microsoft Remote Desktop Client for Mac OS X (ver 8.0.32 and probably prior) allows a malicious Terminal Server to read and write any file in the home directory of the connecting user. The vulnerability exists to the way the application handles rdp urls.
I doubt this a 'problem' with the mac as such nor does it have anything to do with Remote Desktop for Mac which is an entirely different product and for which this forum is for. Questions about RDC for Mac should be put on the relevant Microsoft forum rather than here. However your problem may be with your understanding of the secure remote connections requirements between your server and remote connections. I doubt you'd be aware of any of this as generally server administrators won't necessarily discuss them. By default a mac will not have server-client trust certificates installed simply because the exchange won't happen transparently between an MS based server and non MS-OS such as OS X.
You begin to solve the problem by asking your server administrator for the server's root certificate. He/she has to export this using the built-in tools. They should know how to do this? Once exported save it to a memory stick, insert it into your mac, double click on the .cer file and when prompted install it as a system keychain. On further prompts make sure you select 'Always Trust'. Launch RDC for Mac and you should be OK?
If your server administrator does not know how or, worse still, won't do this for you, then you have far deeper problems that go well beyond OS X in particular and IT as a whole in general.
On June 1, 2016, Microsoft released an update to it’s Remote Desktop client for Mac OS X via the Mac App Store. The update to version 8.0.32 broke some functionality for people. The most commonly reported error I have seen is “Connection reset to peer” before authentication.
Microsoft Remote Desktop Connection Client For Mac Download
Sadly, unless you have a Time Machine backup to grab the old version from you are likely going to have to find an alternative. If you do happen to have an older version that isn’t broken let me know and I will gladly host it for all to get here.
An alternative is to use a beta version of the Microsoft Remote Desktop for Mac. This is a beta version; as such you should expect some beta like functionality. However, my limited testing indicates that where Microsoft Remote Desktop for Mac version 8.0.32 falls flat on its face this beta version appears to work.
If this beta version disappears off the web for whatever reason I have made it available: Microsoft Remote Desktop for Mac version 8.2.22 (8.2.22.618) via chrisshort.net