Note the documentation:
Software requirements for RDP Remote Desktop Connection Client for Mac from Microsoft, versions 2.0 through 2.1.1. You can download this client from the Microsoft Web site. Noѡђ
Horizon Client for Mac does not work with Microsoft Remote Desktop 8.0 and later releases.
I'm wondering if the desktop you are attempting to connect to is running RDP 8.0. That would explain it, but I haven't tested.
This is a pain... finding the RDP 2.x client isn't easy, because Microsoft no longer hosts it. And when I did find it, OS X won't install it because it's unsigned
What version of Horizon are you running? With Horizon 7.1 and Unified Access Gateway 3.0 the only port you need to expose externally is TCP 443 for Blast Extreme (UDP is optional). This works great from a Mac.