Remote desktop for Mac is old, and can't always connect. It can't connect to Windows 8.1 for instance. I keep getting the "Remote desktop connection cannot verify the identity of the computer that you want to connect to", even though I tell it to connect anyway.
If like me your first reaction to "it doesn't work" was to try the "Check for Upgrades" menu item then you'll want to know that _that_ doesn't work either.
Instead, go straight to the App store and install it from there. The spiffy new version is a great new app and works just fine.