It is a hash calculated for the RDP server certificate.
The certificate is stored on the RDP server as explained by @alciregi, but the server has no need to store the fingerprint itself.
On the other hand, the RDP client calculates the fingerprint for the server certificate on each connection to verify it against the stored one to prevent sending RDP credentials to a malicious server.
FreeRDP-based clients store the server certificate fingerprints here:
~/.config/freerdp/known_hosts2