Hi vSohill,
Do you have a DFW which is not working or is it just a general question?
DFW supports L4 and L7 (context-aware) rules in 6.4. If you are using L4 rules, they match packets based on source/destination IP and port. So as long as it's port 3389, NSX DFW doesn't care about protocols specifics like NLA.
L7 rules are protocol-based, they not just look at IP and port, but also do some protocol inspection using Distributed Deep Packet Inspection (DPI). Which can be a bit more tricky. So need some more detail from you here.
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