Ok it’s a short version, but here for me to remember the little error that blocked the start
Installed the WSL2 Kali and was looking for something and came across this video, it’s short, and to the point which a lot of useful information
I hit an error when I logged in “Failed to execute child process ‘dbus-launch'”. It’s listed in the comments and a very easy fix you need to install the dbus-x11 package
sudo service xrdp stop
sudo apt-get install dbus-x11
sudo service xrdp start