Ok, I am sure I know what you did wrong and I didn't catch it at first... My bad.
On the host machine
share port 3389:
zrok share private --backend-mode tcpTunnel 127.0.0.1:3389
On the local machine
you need to use --bind to change the port OR you can use the default port :9191 if you wish. I think it'll be more instructive here to change the port to 30000+3389 == 33389:
zrok access private fdd8p1lzbvip --bind 127.0.0.1:33389
Now open RDP and RDP to localhost:33389 and presto you'd be connected... That looks like what you did because I am ALSO getting:
[ 16.337] ERROR zrok/endpoints.TXer: read error '127.0.0.1:3389' -> 'ziti-edge-router connId=2147483648, logical=ziti-sdk[router=tls:def60534-ff9a-44db-bb9e-46b65c67b5ce.production.netfoundry.io:443]': read tcp 127.0.0.1:34404->127.0.0.1:3389: use of closed network connection
RDP seems to be triggering a bug we will have to fix... I'm going to try an older version of zrok to see if it worked before.