The Microsoft Remote Desktop application doesn't have a clipboard function (ability to copy from an operating system and paste it to another). However, according to the developers, you can copy / paste files by using the Redirection option. To do this, click the + button and in the Add Local Folder window enter the following information :
Name: Set a name for the folder to be available during the remote session.
Path: Select the path to the folder to be available during the remote session.
For additional information, check the support website.