If you have a few physical machines or a few VMs and would like to use the Rublon for Windows Logon & RDP connector, you have to install the connector on each machine separately. Do not install the connector in Active Directory.
As a rule of thumb, you have to install Rublon for Windows Logon on every machine somebody will log into.
Helpful Links
Rublon 2FA for Windows Logon and RDP - Documentation