it depends on what exactly you want to achieve but you can already embed PowerShell connections into Royal TSX.
To simply get a local PowerShell prompt follow these steps:
Opening this connection should result in a local PowerShell prompt. If you want to use the remoting features of PowerShell, you can probably pass additional arguments to the PowerShell executable to establish a connection. I'm no PowerShell expert though so I can't tell you exactly how that works. I guess you should be able to find the required information in Microsoft's documentation.
Hope that helps!
Since PSRemoting can now done over SSH from macOS, it would be great to see this implemented in Royal TSX (and TS).
It would be great to also see this under the connect with options menu when already connected to an RDP host.