Any time you use Remote Desktop Connection to connect to another computer, the name or the IP address of the connected computer is stored, so that next time when you open up Remote Desktop Connection again, you can select the computer name or IP address from the computer drop down list to save some time on typing. This feature is very handy if the connecting computer is your personal computer, but if you are using a public computer or someone else’s computer, then it might become a security threat because it exposes the name or IP address of the remote computer.

Then, how can we delete a computer name or IP address from the connection history? Here is a how-to from Microsoft Help and Support:

How to Remove Entries from the Remote Desktop Connection Computer Box?