Use the excellent script of c-nergy.be who deserve all credit for this solution.
Run the following code in an ubuntu client running on a proxmox host.
wget <https://www.c-nergy.be/downloads/xRDP/xrdp-installer-1.5.4.zip>
unzip xrdp-installer-1.5.4.zip
chmod +x ~/Downloads/xrdp-installer-1.5.4.sh
The script needs to be run as a normal user and in the ubuntu desktop shell - not via ssh !
./xrdp-installer-1.5.4.sh
Whenever I tried to login i got an error that " I need to log out of my local session" as mentioned above. Maybe due to the proxmox webconsole.
I used the description in https://c-nergy.be/blog/?p=16698
sudo nano /etc/xrdp/startwm.sh
and added
export $(dbus-launch)
before
############ added to ignore local logon
export $(dbus-launch)
############
# debian
if [ -r /etc/X11/Xsession ]; then
after a restart of xrdp with "sudo systemctl restart xrdp" I could login with the remote desktop manager from windows
( after unchecking "Show Options" -> Advanced -> Use a web account to sign in in remote desktop manager)