Please execute the setup directly on the server and do not use a remote desktop connection for this!

Why we do not recommend installing software via Remote Desktop

In order to avoid installation and configuration issues, it is generally better to install PRTG Network Monitor directly on the host server, seeing as certain system pop-ups are not properly carried forward when connecting to the server via a RDP session.

The Microsoft article linked below provides the following snippet illustrating the situation:

For some third-party applications, pop-up messages cannot be seen from a Terminal Services session. This is because there is a different security context or desktop for the connected session that does not display the application's pop-up messages. The pop-up messages in these instances will go directly to the console. If you need to see these messages, connect to the console session using Remote Desktop Connection from the command line or the Remote Desktops MMC snap-in.

For detailed information, please see the Microsoft article Using Remote Desktop for Administration for remote server administration