Just in case someone has this same issue and lands here like I did. I was able to resolve this issue by installing the Remote Assistance feature via Server manager.
I had a 2019 RDS server that already had it enabled and was having no issues. I setup a test farm with a 2022 rds server and the Help Desk tool would not download the MSRA file, or give me any kind of error. Once I enabled the feature the file downloaded without issue.