Could you please tell me how should I set the firewall rule so that it would accept the connections to rdp port only for the specified address list and reject any other address that would try to connect to that port ?
First made an address list containing the IPs that can connect, then make a rule that permits those IPs, then drop all other traffic to the port. Assuming the RDP server is 1.1.1.1 and that 192.168.0.0/24 and 172.16.0.0/16 are allowed to connect:
I often suspect that the missing clue most people new to filtering need is ruleS versus rule. You always need to think of a filter rule as only part of a set of rules which work together.
Once you internalize the notion of using multiple rules with exceptions (e.g. the accept above) followed by general (the drop) things get a lot clearer.