VDI access without a VPN is secure?

I know that a rdp without vpn is insecure, but my company migrated the late VPN+VM setup to a VDI without VPN and I'm worried that it might not be secure.

Now we need to connect to a URL, like access.mycompany.com, we use our Microsoft credentials with multi-factor authentication, we see an icon, click on it and it will download a new RDP file every single session. Clicking on this RDP file we will instantly connect to an Azure VDI.

I don't need to connect to the VPN software anymore, so it seems that they can't track my internet usage. I may connect using a starbucks public-wifi with MIT attacks and they are fine with this?