Which client version you upgraded to since the issue started? Also is this a UWP version of client?
Did you try switching the protocol and see? Try with 'Blast' and see if it shows the option.
Thanks for your prompt reply. I downloaded the older version of Horizon client 5.0.0 and it appears again the desktop display scaling. I believe they remove it from the newer version of Horizon client.
It is not there in 5.4.2. Not sure if you tested with 5.4.3.