If you come across the issue whereby the AVG Firewall component blocks Windows 10 RDP, It can be fixed by changing some of the settings in your AVG Firewall component. Please follow the instructions below to change the Firewall settings:
AVG Internet Security
Open AVG Zen -> Internet Security -> Click on Menu in the top right corner -> Settings -> Components -> Firewall -> Customize -> Network Profiles -> Change the networks from Public to Private (If it is in Private, change it to Public).