With some searching, I finally found the path to the configuration file:
/Users/$USER/Library/Application Support/com.microsoft.rdc.osx.beta
You can see that there are these 5 files and directories
SupportingImages
com.microsoft.appcenter
com.microsoft.rdc.application-data.sqlite
com.microsoft.rdc.application-data.sqlite-shm
com.microsoft.rdc.application-data.sqlite-wal
Copy these files and folders to the new system, reopen the rdp app, and you'll see the connection list from the old configuration!
The username will remain, but the password will be lost, this is unclear why.
~/Library/Application Support/NAME-OR-ID-OF-APPLICATION
.